Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (Q286277)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-time mean-variance portfolio selection with random horizon in an incomplete market |
scientific article |
Statements
Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (English)
0 references
20 May 2016
0 references
mean-variance model
0 references
stochastic LQ control
0 references
backward stochastic differential equation
0 references
BMO-martingale
0 references
0 references
