Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case (Q5108226)
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scientific article; zbMATH DE number 7195282
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case |
scientific article; zbMATH DE number 7195282 |
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Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case (English)
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30 April 2020
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stochastic control
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portfolio optimization
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dynamic game
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Markowitz problem
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stochastic factor model
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Heston model
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