Background: In this paper, we study the right time for an investor to stop the investment over a given investment horizon so as to obtain as close to the highest possible wealth as possible, according to a Logarithmic utility-maximization objective involving the portfolio in the drift and...

Dynamic mean-variance investment model can not be solved by dynamic programming directly due to the nonseparable structure of variance minimization problem. Instead of adopting embedding scheme, Lagrangian duality approach or mean-variance hedging approach, we transfer the model into mean field...