DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION
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Publication:4634639
DOI10.1142/S0219024918500115zbMath1395.91420OpenAlexW2903042244MaRDI QIDQ4634639
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Publication date: 11 April 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024918500115
financial marketspartial informationmean-variance hedgingmean-variance portfolio selectiondeterministic strategiesquadratic optimization problemsrestricted informationtype (A) semimartingales
Martingales with discrete parameter (60G42) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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