Two Stochastic Control Methods for Mean-Variance Portfolio Selection of Jump Diffusions and Their Relationship

q-fin.PM arXiv:2508.01138
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Abstract

This paper is concerned with the maximum principle and dynamic programming principle for mean-variance portfolio selection of jump diffusions and their relationship. First, the optimal portfolio and efficient frontier of the problem are obtained using both methods. Furthermore, the relationship between these two methods is investigated. Specially, the connections between the adjoint processes and value function are given.

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