A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging
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- Yoshida Naohiro
- Department of Industrial and Systems Engineering, Chuo University
Abstract
<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>
Journal
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- JSIAM Letters
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JSIAM Letters 11 (0), 25-28, 2019
The Japan Society for Industrial and Applied Mathematics
