Continuous-time mean-risk portfolio selection

DOI10.1016/j.anihpb.2004.09.009zbMath1130.91026OpenAlexW1990441260MaRDI QIDQ2485325

Hanqing Jin, Jia'an Yan, Xun Yu Zhou

Publication date: 4 August 2005

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_2005__41_3_559_0

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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