Mean-variance portfolio selection under no-shorting rules: a BSDE approach (Q6174059)
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scientific article; zbMATH DE number 7712459
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| English | Mean-variance portfolio selection under no-shorting rules: a BSDE approach |
scientific article; zbMATH DE number 7712459 |
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Mean-variance portfolio selection under no-shorting rules: a BSDE approach (English)
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13 July 2023
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mean-variance portfolio selection
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short-selling prohibition
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efficient frontier
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HJB equation
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recursive utility
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viscosity solution
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0.9254653
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0.91699314
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0.91254085
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0.9116359
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0.90647876
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0.88944054
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0.88301903
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0.8705966
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