COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS (Q2882690)

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COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS
scientific article

    Statements

    title
    COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS (English)
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    author
    J. Wang
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    Peter A. I. Forsyth
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    publication date
    7 May 2012
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    zbMATH Keywords
    mean quadratic variation investment policy
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    mean variance asset allocation
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    HJB equation
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    optimal control
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    cites work

    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G60
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    65N06
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    zbMATH DE Number
    6031400
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    OpenAlex ID
    W1975574867
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