CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (Q3370587)
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scientific article; zbMATH DE number 5004610
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| English | CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION |
scientific article; zbMATH DE number 5004610 |
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CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (English)
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8 February 2006
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mean-variance portfolio selection
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Lagrange multiplier
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backward stochastic differential equation
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contingent claim
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Black-Scholes equation
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continuous time
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