Optimal Portfolio Selection Strategies under Some Constraints

作     者：LUO Kui,WANG Guangming,HU Yijun School of Mathematics and Statistics,Wuhan University,Wuhan 430072,Hubei,China LUO Kui,WANG Guangming,HU Yijun School of Mathematics and Statistics,Wuhan University,Wuhan 430072,Hubei,China

作者机构：School of Mathematics and Statistics Wuhan University Wuhan China 

出 版 物：《Wuhan University Journal of Natural Sciences》 (武汉大学学报（自然科学英文版）)

年 卷 期：2009年第14卷第4期

页      面：281-286页

学科分类：12[管理学] 120204[管理学-技术经济及管理] 1202[管理学-工商管理] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070105[理学-运筹学与控制论] 0701[理学-数学] 

基　　金：Supported by the National Natural Science Foundation of China (10671149) 

主　　题：portfolio selection Lagrange multiplier stochastic differential equation Monte-Carlo simulation 

摘      要：A portfolio selection problem for any utility function is introduced, where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to be below a benchmark wealth process. The problem is completely solved using a decomposition approach. First, the portfolio selection problem is formulated, and its feasibility is characterized. Then, the problem is decomposed to two steps to solve. After a system of equations for a Lagrange multiplier is solved, the portfolio selection problem is derived as the replicating portfolios of contingent claims. Finally, some simulations are demonstrated.