Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (Q286277): Difference between revisions

@@ Property / author @@
-Zhi-Yong Yu
@@ Property / author: Zhi-Yong Yu / rank @@
-Normal rank
@@ Property / author @@
+Zhi-Yong Yu
@@ Property / author: Zhi-Yong Yu / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+N10
@@ Property / Mathematics Subject Classification ID: 49N10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6583220
@@ Property / zbMATH DE Number: 6583220 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mean-variance model
@@ Property / zbMATH Keywords: mean-variance model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic LQ control
@@ Property / zbMATH Keywords: stochastic LQ control / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+backward stochastic differential equation
@@ Property / zbMATH Keywords: backward stochastic differential equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+BMO-martingale
@@ Property / zbMATH Keywords: BMO-martingale / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.automatica.2016.02.017
+Normal rank
@@ Property / OpenAlex ID @@
+W2301659145
@@ Property / OpenAlex ID: W2301659145 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment decisions when time-horizon is uncertain
+Normal rank
@@ Property / cites work @@
+Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
+Normal rank
@@ Property / cites work @@
+Contract theory in continuous-time models
@@ Property / cites work: Contract theory in continuous-time models / rank @@
+Normal rank
@@ Property / cites work @@
+The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Time-Inconsistent Stochastic Linear--Quadratic Control
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-variance hedging on uncertain time horizon in a market with a jump
+Normal rank
@@ Property / cites work @@
+Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
+Normal rank
@@ Property / cites work @@
+Multidimensional Backward Stochastic Riccati Equations and Applications
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
+Normal rank
@@ Property / cites work @@
+On well-posedness of forward-backward SDEs -- a unified approach
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection with random horizon
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:286277