Preservation of scalarization optimal points in the embedding technique for continuous time mean variance optimization (Q3192132)
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scientific article; zbMATH DE number 6348161
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| English | Preservation of scalarization optimal points in the embedding technique for continuous time mean variance optimization |
scientific article; zbMATH DE number 6348161 |
Statements
Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization (English)
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26 September 2014
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mean variance
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embedding
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Pareto optimal
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scalarization optimization
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optimal trade execution
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HJB equation
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0.8241895437240601
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0.7343689203262329
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0.7003948092460632
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0.6996040940284729
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0.6909466981887817
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