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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.