Mean-variance portfolio selection in a complete market with unbounded random coefficients
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Publication:1689364
DOI10.1016/J.AUTOMATICA.2015.03.009zbMath1377.93180OpenAlexW2046044763MaRDI QIDQ1689364
Publication date: 12 January 2018
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2015.03.009
backward stochastic differential equationsmatrix exponentialexponential integrabilitySturm-Liouville theorymean-variance portfolio selectionunbounded random coefficients
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)
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