Dynamic mean–variance portfolio selection in market with jump-diffusion models (Q4981879): Difference between revisions

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Latest revision as of 20:35, 9 July 2024

scientific article; zbMATH DE number 6417971
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English
Dynamic mean–variance portfolio selection in market with jump-diffusion models
scientific article; zbMATH DE number 6417971

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    Dynamic mean–variance portfolio selection in market with jump-diffusion models (English)
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    20 March 2015
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    investment portfolio processes
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    backward stochastic differential equation
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    stochastic optimal control
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    mean-variance portfolio selection
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    optimization
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    efficient frontier
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