论文标题
与随机系数的约束单调均值变化问题
Constrained monotone mean-variance problem with random coefficients
论文作者
论文摘要
本文研究了带有随机系数的市场中凸锥交易限制的单调均值变化（MMV）问题和经典均值变化（MV）问题。我们通过某些向后的随机微分方程（BSDES）为两个问题提供了半缩短的最佳策略和最佳值。注意到这些BSDE之间的链接后，我们发现这两个问题共享相同的最佳投资组合和最佳值。这概括了Shen and Zou $ [$ SIAM J. Financial Math。，13（2022），pp。SC99-SC112 $] $从确定性系数到随机的结果。
This paper studies the monotone mean-variance (MMV) problem and the classical mean-variance (MV) problem with convex cone trading constraints in a market with random coefficients. We provide semiclosed optimal strategies and optimal values for both problems via certain backward stochastic differential equations (BSDEs). After noting the links between these BSDEs, we find that the two problems share the same optimal portfolio and optimal value. This generalizes the result of Shen and Zou $[$ SIAM J. Financial Math., 13 (2022), pp. SC99-SC112$]$ from deterministic coefficients to random ones.
