Dynamic mean–variance portfolio selection in market with jump-diffusion models (Q4981879)
From MaRDI portal
scientific article; zbMATH DE number 6417971
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic mean–variance portfolio selection in market with jump-diffusion models |
scientific article; zbMATH DE number 6417971 |
Statements
Dynamic mean–variance portfolio selection in market with jump-diffusion models (English)
0 references
20 March 2015
0 references
investment portfolio processes
0 references
backward stochastic differential equation
0 references
stochastic optimal control
0 references
mean-variance portfolio selection
0 references
optimization
0 references
efficient frontier
0 references
