Optimal Portfolios in an Incomplete Market

Jiongmin Yong

Self-financing optimal investment problem is considered in an 
incomplete market. The general existence of optimal portfolios is discussed via variational method of stochastic optimal control and the theory of (forward-) backward stochastic differential equations.

Key Words: Optimal portfolio; Stochastic control; Backward stochastic 
differential equations.
JEL Classification Numbers: G0, G1, G6.