Continuous-Time Optimal Portfolio Selection with Liability
Xie Shuxiang(1),Li Zhongfei(2)
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(1)School of Mathematics and Computational Science, Guangzhou 510275;(2)Department of Finance, Lingnan (University) College, Sun Yat-Sen University, Guangzhou 510275.
In the paper a continuous-time mean-variance portfolio selection model with liability is established. Under the assumption that the price of the risky asset follows a geometric Brownian motion and the liability evolves according to a Brownian motion with drift, all the market coefficients are assumed to be constants, we derive the optimal strategy and efficient frontier in closed forms for the mean-variance model by use of general stochastic LQ technique.
Xie Shuxiang
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Continuous-Time Optimal Portfolio Selection with Liability. Journal of Systems Science and Mathematical Sciences, 2007, 27(6): 801-810 https://doi.org/10.12341/jssms10020