Portfolio Optimization without the Self-Financing Assumption ()
Abstract
In this paper, we relax the assumption of a self-financing strategy in the dynamic investment models. In so doing we provide smooth solutions and constrained viscosity solutions.
Share and Cite:
M. Alghalith, "Portfolio Optimization without the Self-Financing Assumption,"
Advances in Pure Mathematics, Vol. 1 No. 3, 2011, pp. 81-83. doi:
10.4236/apm.2011.13018.
Conflicts of Interest
The authors declare no conflicts of interest.
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