A Minimum Variance Result in Continuous Trading Portfolio Optimization (Q4732270): Difference between revisions
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Revision as of 17:06, 5 March 2024
scientific article; zbMATH DE number 4118103
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Minimum Variance Result in Continuous Trading Portfolio Optimization |
scientific article; zbMATH DE number 4118103 |
Statements
A Minimum Variance Result in Continuous Trading Portfolio Optimization (English)
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1989
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portfolio optimization
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finance
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stochastic control
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martingales
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Hilbert space applications
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variance of discounted wealth
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investment goal
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geometric Brownian motion
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optimal trading policy
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