Short communication: cone-constrained monotone mean-variance portfolio selection under diffusion models (Q5045197)
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scientific article; zbMATH DE number 7612218
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| English | Short communication: cone-constrained monotone mean-variance portfolio selection under diffusion models |
scientific article; zbMATH DE number 7612218 |
Statements
Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models (English)
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4 November 2022
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optimal investment
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Hamilton-Jacobi-Bellman equation
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portfolio constraints, monotone mean-variance
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0.8045955896377563
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0.7982629537582397
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0.7965354323387146
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0.7914348244667053
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0.78681480884552
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