Mean-Variance Portfolio Selection in Contagious Markets (Q5071496)
From MaRDI portal
scientific article; zbMATH DE number 7511195
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-Variance Portfolio Selection in Contagious Markets |
scientific article; zbMATH DE number 7511195 |
Statements
Mean-Variance Portfolio Selection in Contagious Markets (English)
0 references
21 April 2022
0 references
efficient strategy
0 references
Hawkes process
0 references
jump-diffusion
0 references
linear-quadratic control
0 references
optimal investment
0 references
stochastic maximum principle
0 references
0 references
0 references
0 references
0 references
0 references
0 references
