CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (Q3370587): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q1285494 |
Changed an Item |
||
| Property / author | |||
| Property / author: Xun Yu Zhou / rank | |||
Normal rank | |||
Revision as of 19:28, 22 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION |
scientific article |
Statements
CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (English)
0 references
8 February 2006
0 references
mean-variance portfolio selection
0 references
Lagrange multiplier
0 references
backward stochastic differential equation
0 references
contingent claim
0 references
Black-Scholes equation
0 references
continuous time
0 references
