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

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-Zhi-Yong Yu
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+Zhi-Yong Yu
@@ Property / author: Zhi-Yong Yu / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.automatica.2016.02.017
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+W2301659145
@@ Property / OpenAlex ID: W2301659145 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment decisions when time-horizon is uncertain
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@@ Property / cites work @@
+Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
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+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
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+Utility maximization in incomplete markets
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+Time-Inconsistent Stochastic Linear--Quadratic Control
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+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
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+Mean-variance hedging on uncertain time horizon in a market with a jump
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+Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
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+Multidimensional Backward Stochastic Riccati Equations and Applications
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+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
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+Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
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+Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
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+On well-posedness of forward-backward SDEs -- a unified approach
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@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection with random horizon
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@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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@@ links / mardi / name / links / mardi / name @@
+Publication:286277