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Portfolio Optimization without the Self-Financing Assumption

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DOI: 10.4236/apm.2011.13018    3,789 Downloads   9,030 Views   Citations

ABSTRACT

In this paper, we relax the assumption of a self-financing strategy in the dynamic investment models. In so doing we provide smooth solutions and constrained viscosity solutions.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

M. Alghalith, "Portfolio Optimization without the Self-Financing Assumption," Advances in Pure Mathematics, Vol. 1 No. 3, 2011, pp. 81-83. doi: 10.4236/apm.2011.13018.

References

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[2] N. Castaneda-Leyva and D. Hernandez-Hernandez, “Op- timal Consumption-Investment Problems in Incomplete Markets with Random Coefficients,” Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference 2005, Sevilla, 12-15 December 2005, pp. 6650-6655.
[3] J. Cvitanic and F. Zapatero, “Introduction to the Economics and Mathematics of Financial Markets,” MIT Press, Cambridge, 2004.
[4] W. Fleming, “Some Optimal Investment, Production and Con-sumption Models,” Contemporary Mathematics, Vol. 351, 2004, pp. 115-123.
[5] F. Focardi and F. Fabozzi, “The Mathematics of Financial Modeling and Investment Manage-ment,” Wiley E-Series, 2004.
[6] F. Minani, “Hausdorff Con-tinuous Viscosity Solutions to Hamilton-Jacobi Equations and their Numerical Analysis,” Unpublished Ph.D. Thesis, Univer-sity of Pretoria, Pretoria, 2007.

  
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