Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (Q4537800): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 11:08, 7 February 2024
scientific article; zbMATH DE number 1758244
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints |
scientific article; zbMATH DE number 1758244 |
Statements
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (English)
0 references
23 June 2002
0 references
mean-variance portfolio selection
0 references
short-selling constraints
0 references
stochastic LQ control
0 references
HJB equation
0 references
viscosity solution
0 references
efficient frontier
0 references
