Continuous-time mean-variance portfolio selection with random horizon
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Publication:2441394
DOI10.1007/s00245-013-9209-1zbMath1288.91181MaRDI QIDQ2441394
Publication date: 24 March 2014
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-013-9209-1
backward stochastic differential equation; linear-quadratic control; continuous time; mean-variance portfolio selection; random time horizon
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