Acknowledgements
The authors wish to thank the Israel Zimmerman Foundation for the Study of Banking and Finance for financial support. Jing Yao also acknowledges the support from and FWO.
Notes
No potential conflict of interest was reported by the authors.
1 For the computational convenience, we consider the initial constraint on the weight as In fact, for any initial wealth
we are to solve
We can rewrite it as
then it is easy to see that the results obtained in section 3 are applicable as is again multivariate normal distributed.