A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging

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<p>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.</p>

収録刊行物

  • JSIAM Letters

    JSIAM Letters 11 (0), 25-28, 2019

    一般社団法人 日本応用数理学会

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