摘要翻译：
利用对偶方法研究了具有破产禁止的非线性财富方程的连续时间均值-方差投资组合模型。通过终端扰动技术，得到了最优终端财富满足的充要条件。本文还证明了最优财富和最优投资组合是一个带约束的正倒向随机微分方程的解。
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英文标题：
《Dual method for continuous-time Markowitz's Problems with nonlinear
  wealth equations》
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作者：
Shaolin Ji
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the optimal terminal wealth satisfies is obtained through a terminal perturbation technique. It is also shown that the optimal wealth and portfolio is the solution of a forward-backward stochastic differential equation with constraints.
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PDF链接：
https://arxiv.org/pdf/0806.4834