Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer (Q646755): Difference between revisions
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Revision as of 17:58, 15 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer |
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Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer (English)
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17 November 2011
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HJB equation
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mean-variance portfolio selection
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optimal investment
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verification theorem
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viscosity solution
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