Continuous-time Markowitz's model with constraints on wealth and portfolio (Q1709945)
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scientific article; zbMATH DE number 7002339
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| English | Continuous-time Markowitz's model with constraints on wealth and portfolio |
scientific article; zbMATH DE number 7002339 |
Statements
Continuous-time Markowitz's model with constraints on wealth and portfolio (English)
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15 January 2019
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Markowitz's mean-variance model
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bankruptcy prohibition
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convex cone constraints
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efficient frontier
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stochastic LQ control
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HJB equation
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0.9098942
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0.8836915
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0.8815774
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0.87319624
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0.87064964
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0.8702353
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0.86859363
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0.86763406
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