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Portfolio Optimization without the Self-Financing Assumption
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Advances in Pure Mathematics·Volume 01 (2011)·Pages 81–83·Published 19 May 2011·DOI10.4236/apm.2011.13018
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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.
KeywordsPortfolioInvestmentStochasticViscosity SolutionsSelf Financing
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