Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (Q286277)
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English | Continuous-time mean-variance portfolio selection with random horizon in an incomplete market |
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Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (English)
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20 May 2016
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mean-variance model
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stochastic LQ control
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backward stochastic differential equation
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BMO-martingale
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