Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints

摘要

An investment problem is considered with dynamic mean–variance (M–V) portfolio criterion under discontinuous prices described by jump-diffusion processes. Some investment strategies are restricted in the study. This M–V portfolio with restrictions can lead to a stochastic optimal control model. The corresponding stochastic Hamilton–Jacobi–Bellman equation of the problem with linear and nonlinear constraints is derived. Numerical algorithms are presented for finding the optimal solution in this article. Finally, a computational experiment is to illustrate the proposed methods by comparing with M–V portfolio problem which does not have any constraints.