Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints
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Publication:3578798
DOI10.1080/00207170903367284zbMath1193.91145MaRDI QIDQ3578798
Publication date: 20 July 2010
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207170903367284
91G60: Numerical methods (including Monte Carlo methods)
91G80: Financial applications of other theories
91G10: Portfolio theory
Cites Work
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- Optimal portfolio selection when stock prices follow an jump-diffusion process
- Stochastic Verification Theorems within the Framework of Viscosity Solutions
- Domain decomposition algorithms for solving hamilton-jacobi-bellman equations
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market