TITLE:
Portfolio Optimization without the Self-Financing Assumption
AUTHORS:
Moawia Alghalith
KEYWORDS:
Portfolio, Investment, Stochastic, Viscosity Solutions, Self Financing
JOURNAL NAME:
Advances in Pure Mathematics,
Vol.1 No.3,
June
3,
2011
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.