Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market (Q5704164): Difference between revisions
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Latest revision as of 21:04, 19 March 2024
scientific article; zbMATH DE number 2228329
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market |
scientific article; zbMATH DE number 2228329 |
Statements
Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market (English)
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11 November 2005
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quadratic hedging
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mean-variance portfolio selection
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incomplete markets
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linear-quadratic optimal control
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stochastic Riccati equation
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backward stochastic differential equations
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Mutual Fund Theorem
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efficient frontier
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