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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


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.

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The authors declare no conflicts of interest.

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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.


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