Optimal mean-variance portfolio selection
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Publication:513742
DOI10.1007/s11579-016-0174-8zbMath1390.91285OpenAlexW2311897540WikidataQ59615101 ScholiaQ59615101MaRDI QIDQ513742
Goran Peskir, Jesper Lund Pedersen
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
Hamilton-Jacobi-Bellman equationnonlinear optimal controlgeometric Brownian motionmean-variance analysisdynamic optimalitystatic optimalityLagrange functions
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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