Optimal mean-variance portfolio selection

DOI10.1007/s11579-016-0174-8zbMath1390.91285OpenAlexW2311897540WikidataQ59615101 ScholiaQ59615101MaRDI QIDQ513742

Publication date: 7 March 2017

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-016-0174-8

zbMATH Keywords

Hamilton-Jacobi-Bellman equation nonlinear optimal control geometric Brownian motion mean-variance analysis dynamic optimality static optimality Lagrange functions

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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