Mean-variance portfolio selection under a constant elasticity of variance model

DOI10.1016/j.orl.2014.05.008zbMath1408.91203OpenAlexW2041877085MaRDI QIDQ1785248

Tak Kuen Siu, Xin Zhang, Yang Shen

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2014.05.008

zbMATH Keywords

efficient frontierconstant elasticity of variance modelmean-variance portfolio selectionbackward stochastic Riccati equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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