Mean-variance portfolio selection in a complete market with unbounded random coefficients

DOI10.1016/j.automatica.2015.03.009zbMath1377.93180OpenAlexW2046044763MaRDI QIDQ1689364

Yang Shen

Publication date: 12 January 2018

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2015.03.009

zbMATH Keywords

backward stochastic differential equationsmatrix exponentialexponential integrabilitySturm-Liouville theorymean-variance portfolio selectionunbounded random coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)

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