Continuous-time mean–variance portfolio selection with value-at-risk and no-shorting constraints (Q5745553): Difference between revisions

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Latest revision as of 07:01, 7 July 2024

scientific article; zbMATH DE number 6252440
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English
Continuous-time mean–variance portfolio selection with value-at-risk and no-shorting constraints
scientific article; zbMATH DE number 6252440

    Statements

    Continuous-time mean–variance portfolio selection with value-at-risk and no-shorting constraints (English)
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    30 January 2014
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    HJB equation
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    no-shorting constraint
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    discontinuous prices
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    VaR constraint
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    Poisson process
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    Identifiers

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