Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (Q286277): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.automatica.2016.02.017 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2301659145 / rank | |||
Normal rank | |||
Revision as of 20:41, 19 March 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
