CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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Publication:3370587
DOI10.1111/J.0960-1627.2005.00218.XzbMath1153.91466OpenAlexW3124574885MaRDI QIDQ3370587
Stanley R. Pliska, Hanqing Jin, Tomasz R. Bielecki, Xun Yu Zhou
Publication date: 8 February 2006
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00218.x
Lagrange multiplierbackward stochastic differential equationcontinuous timeBlack-Scholes equationmean-variance portfolio selectioncontingent claim
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Mathematics of financial markets
- Forward-backward stochastic differential equations and their applications
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Backward Stochastic Differential Equations in Finance
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