Optimal Portfolios in an Incomplete Market

Jiongmin Yong
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Jiongmin Yong: Laboratory of Mathematics for Nonlinear Sciences, Department of Mathematics, and Institute of Mathematical Finance, Fudan University

Annals of Economics and Finance, 2000, vol. 1, issue 2, 359-381

Abstract: Self-financing optimal investment problem is considered in an incomplete market. The general existence of optimal portfolios is discussed via variational method of stochastic optimal control and the theory of (forward-) backward stochastic differential equations.

Keywords: Optimal portfolio; Stochastic control; Backward stochastic; differential equations (search for similar items in EconPapers)
JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2000:v:1:i:2:p:359-381

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