Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
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Publication:2280828
DOI10.1016/j.automatica.2019.05.044zbMath1429.91297OpenAlexW2962418028WikidataQ127738407 ScholiaQ127738407MaRDI QIDQ2280828
Publication date: 19 December 2019
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2019.05.044
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03) Portfolio theory (91G10)
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