APM  Vol.1 No.3 , May 2011
Portfolio Optimization without the Self-Financing Assumption
Author(s) Moawia Alghalith
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.

Cite this paper
nullM. 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.
References
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[3]   J. Cvitanic and F. Zapatero, “Introduction to the Economics and Mathematics of Financial Markets,” MIT Press, Cambridge, 2004.

[4]   W. Fleming, “Some Optimal Investment, Production and Con-sumption Models,” Contemporary Mathematics, Vol. 351, 2004, pp. 115-123.

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[6]   F. Minani, “Hausdorff Con-tinuous Viscosity Solutions to Hamilton-Jacobi Equations and their Numerical Analysis,” Unpublished Ph.D. Thesis, Univer-sity of Pretoria, Pretoria, 2007.

 
 
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