Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets (Q2871726): Difference between revisions
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Revision as of 18:20, 22 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets |
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Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets (English)
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9 January 2014
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benchmark and mean-variance criteria
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Lévy processes
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Hamilton-Jacobi-Bellman equation
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exogenous cash flow
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duality theory
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