Portfolio Optimization without the Self-Financing Assumption - Advances in Pure Mathematics

APM > Vol.1 No.3, May 2011

Portfolio Optimization without the Self-Financing Assumption ()

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DOI: 10.4236/apm.2011.13018 4,388 Downloads 10,233 Views Citations

Author(s)

Moawia Alghalith

Affiliation(s)

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.

KEYWORDS

Portfolio, Investment, Stochastic, Viscosity Solutions, Self Financing

Share and Cite:

M. Alghalith, "Portfolio Optimization without the Self-Financing Assumption," Advances in Pure Mathematics, Vol. 1 No. 3, 2011, pp. 81-83. doi: 10.4236/apm.2011.13018.

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