A note on the mean-variance criteria for discrete time financial markets

DOI10.1007/S10255-005-0276-1zbMath1163.91349OpenAlexW2158237785MaRDI QIDQ2508065

Xinhua Liu

Publication date: 9 October 2006

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-005-0276-1

zbMATH Keywords

expected utility maximizationmeasure of riskMean-variance portfolio selectiontrinomial tree model

Mathematics Subject Classification ID

Utility theory (91B16)

Cites Work

• MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
• Stochastic finance. An introduction in discrete time

This page was built for publication: A note on the mean-variance criteria for discrete time financial markets