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By using Lagrange duality methods, this paper studies the continuous-time mean-variance portfolio selection problem with uncertain exit time. Firstly, the original mean-variance problem is turned into a stochastic optimal control problem containing Lagrange multiplier. Secondly, the corresponding Hamilton- Jacobi-Bellman HJB equation is solved analytically. Thirdly, the efficient investment strategy...
In this article, the authors establish some new nonlinear difference inequalities in two independent variables, which generalize some existing results and can be used as handy tools in the study of qualitative as well as quantitative properties of solutions of certain classes of difference equations.
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