Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer (Q646755)
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scientific article; zbMATH DE number 5973940
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| English | Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer |
scientific article; zbMATH DE number 5973940 |
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Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer (English)
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17 November 2011
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HJB equation
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mean-variance portfolio selection
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optimal investment
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verification theorem
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viscosity solution
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0.95626676
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0.9284466
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0.92111087
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0.91118366
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0.9103141
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0.91017914
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0.9065279
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0.9046535
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