Continuous-time portfolio optimization under terminal wealth constraints (Q4845095): Difference between revisions
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| Property / cites work: Convex duality in constrained portfolio optimization / rank | |||
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| Property / cites work: Mean-variance hedging in continuous time / rank | |||
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| Property / cites work: Optimization Problems in the Theory of Continuous Trading / rank | |||
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Revision as of 16:05, 23 May 2024
scientific article; zbMATH DE number 792549
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-time portfolio optimization under terminal wealth constraints |
scientific article; zbMATH DE number 792549 |
Statements
Continuous-time portfolio optimization under terminal wealth constraints (English)
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18 October 1995
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complete markets
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martingale method
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portfolio analysis
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expected utility
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mean-variance approach
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terminal wealth constraints
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