Optimal mean-variance selling strategies (Q253104): Difference between revisions
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| Property / author: Goran Peskir / rank | |||
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| Property / Mathematics Subject Classification ID: 60G40 / rank | |||
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| Property / Mathematics Subject Classification ID: 60J65 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B06 / rank | |||
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| Property / Mathematics Subject Classification ID: 90C30 / rank | |||
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| Property / zbMATH DE Number: 6551191 / rank | |||
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nonlinear optimal stopping | |||
| Property / zbMATH Keywords: nonlinear optimal stopping / rank | |||
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geometric Brownian motion | |||
| Property / zbMATH Keywords: geometric Brownian motion / rank | |||
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static optimality | |||
| Property / zbMATH Keywords: static optimality / rank | |||
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dynamic optimality | |||
| Property / zbMATH Keywords: dynamic optimality / rank | |||
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mean-variance analysis | |||
| Property / zbMATH Keywords: mean-variance analysis / rank | |||
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smooth fit | |||
| Property / zbMATH Keywords: smooth fit / rank | |||
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free-boundary problem | |||
| Property / zbMATH Keywords: free-boundary problem / rank | |||
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Revision as of 11:45, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal mean-variance selling strategies |
scientific article |
Statements
Optimal mean-variance selling strategies (English)
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8 March 2016
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nonlinear optimal stopping
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geometric Brownian motion
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static optimality
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dynamic optimality
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mean-variance analysis
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smooth fit
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free-boundary problem
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