Mean-Variance Portfolio Selection in Contagious Markets (Q5071496): Difference between revisions
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Revision as of 22:17, 19 April 2024
scientific article; zbMATH DE number 7511195
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-Variance Portfolio Selection in Contagious Markets |
scientific article; zbMATH DE number 7511195 |
Statements
Mean-Variance Portfolio Selection in Contagious Markets (English)
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21 April 2022
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efficient strategy
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Hawkes process
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jump-diffusion
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linear-quadratic control
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optimal investment
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stochastic maximum principle
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