Explicit solutions to some optimal variance stopping problems (Q3108377): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1080/17442508.2010.529142 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1997306380 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: An interest rate model with upper and lower bounds / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance hedging in continuous time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3721531 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3923307 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3378055 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Minimum Variance Result in Continuous Trading Portfolio Optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4172681 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework / rank
 
Normal rank

Latest revision as of 18:53, 4 July 2024

scientific article
Language Label Description Also known as
English
Explicit solutions to some optimal variance stopping problems
scientific article

    Statements

    Explicit solutions to some optimal variance stopping problems (English)
    0 references
    0 references
    3 January 2012
    0 references
    variance criterion
    0 references
    quadratic optimal stopping
    0 references
    geometric Brownian motion
    0 references
    Jacobi diffusion
    0 references
    square-root process
    0 references
    variance stopping for a given mean
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references