Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (Q286277)
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scientific article; zbMATH DE number 6583220
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| English | Continuous-time mean-variance portfolio selection with random horizon in an incomplete market |
scientific article; zbMATH DE number 6583220 |
Statements
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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0.9265679121017456
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0.9088574051856996
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0.8874696493148804
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0.8751764297485352
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