Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (Q286277): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q940009 |
||
| Property / author | |||
| Property / author: Zhi-Yong Yu / rank | |||
Revision as of 11:16, 21 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-time mean-variance portfolio selection with random horizon in an incomplete market |
scientific article |
Statements
Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (English)
0 references
20 May 2016
0 references
mean-variance model
0 references
stochastic LQ control
0 references
backward stochastic differential equation
0 references
BMO-martingale
0 references
