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arXiv · 2610.18398

Optimal Transport for Continuous-Time Mean-Variance Portfolio Selection

Yijie Zeng·Liangquan Zhang·Xun Li
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Abstract

The continuous-time mean-variance portfolio selection problem is investigated in this paper through a rigorous integration of backward stochastic differential equation (BSDE) and Kantorovich duality theory. We propose a novel analytical framework for addressing feedback control in McKean-Vlasov stochastic systems. By solving three coupled systems of ordinary differential equations (ODEs), we derive an explicit, closed-loop optimal feedback investment strategy.

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Yijie Zeng, Liangquan Zhang, Xun Li. 2026-10-13. Optimal Transport for Continuous-Time Mean-Variance Portfolio Selection. https://arxiv.org/abs/2610.18398

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