Continuous-time mean-variance portfolio selection with random horizon (Q2441394): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s00245-013-9209-1 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2309637103 / rank | |||
Normal rank | |||
Revision as of 01:53, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-time mean-variance portfolio selection with random horizon |
scientific article |
Statements
Continuous-time mean-variance portfolio selection with random horizon (English)
0 references
24 March 2014
0 references
backward stochastic differential equation
0 references
mean-variance portfolio selection
0 references
random time horizon
0 references
linear-quadratic control
0 references
continuous time
0 references
