The Open Automation and Control Systems Journal

2015, 7 : 199-202
Published online 2015 March 31. DOI: 10.2174/1874444301507010199
Publisher ID: TOAUTOCJ-7-199

Multi-period Portfolio Selection Using the Finite Difference Method

Xing Yu
Department of Computer Engineering, Kuwait University, Kuwait.

ABSTRACT

We investigate a continuous-time mean–variance portfolio selection problem. Different from the general stochastic dynamic programming approach, such as using Hamilton–Jacobi–Bellman (HJB) equation, this paper adopts the Lagrange duality method and the finite difference approach to derive explicit closed-form expressions for the efficient investment strategy and the mean–variance efficient frontier.

Keywords:

Continuous time mean–variance, finite difference method, optimization, portfolio selection.