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N. Castaneda-Leyva and D. Hernandez-Hernandez, “Op- timal Consumption-Investment Problems in Incomplete Markets with Random Coefficients,” Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference 2005, Sevilla, 12-15 December 2005, pp. 6650-6655.

has been cited by the following article:

• TITLE: Portfolio Optimization without the Self-Financing Assumption

  AUTHORS: Moawia Alghalith

  KEYWORDS: Portfolio, Investment, Stochastic, Viscosity Solutions, Self Financing

  JOURNAL NAME: Advances in Pure Mathematics, Vol.1 No.3, June 3, 2011

  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.