Publication:2926957
From MaRDI portal
zbMath1313.91075MaRDI QIDQ2926957
Xiangbo Meng, Ziping Du, Peng Ye, Li-Dong Zhang
Publication date: 3 November 2014
Hamilton-Jacobi-Bellman equation; Lagrange multiplier; mean-variance criterion; optimal investment strategy
62P05: Applications of statistics to actuarial sciences and financial mathematics
90C15: Stochastic programming
90C39: Dynamic programming
91G10: Portfolio theory
