Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations (Q2407233)
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scientific article
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| English | Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations |
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Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations (English)
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29 September 2017
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mean-variance portfolio selection
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nonlinear wealth equation
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HJB equation
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viscosity solution
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0.8796733617782593
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0.8242400288581848
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0.822357177734375
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0.8222873210906982
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