Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach (Q5407987): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claims |
||
| Property / author | |||
| Property / author: Duy Minh Dang / rank | |||
| Property / author | |||
| Property / author: Q175883 / rank | |||
Revision as of 17:51, 20 February 2024
scientific article; zbMATH DE number 6281605
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach |
scientific article; zbMATH DE number 6281605 |
Statements
Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach (English)
0 references
8 April 2014
0 references
finite difference
0 references
Hamilton-Jacobi-Bellman equation
0 references
impulse control
0 references
mean-variance
0 references
viscosity solution
0 references
