JSIAM Letters
Online ISSN : 1883-0617
Print ISSN : 1883-0609
ISSN-L : 1883-0617
Articles
A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging
Naohiro Yoshida
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ジャーナル フリー

2019 年 11 巻 p. 25-28

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抄録

In this paper, an explicit solution to a continuous-time mean-variance portfolio selection problem in a continuous semimartingale model is provided through the Lagrange multiplier method and results of a mean-variance hedging problem. Without reformulation of the problem which is usually employed in the literature, we get a more straightforward method of solution than earlier studies.

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© 2019, The Japan Society for Industrial and Applied Mathematics
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