Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
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Publication:5704066
DOI10.1287/moor.27.1.101.337zbMath1082.91521OpenAlexW2141858721MaRDI QIDQ5704066
Publication date: 11 November 2005
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/4a6404c1c9ab5ecf3a6669e7bcb22008ce4652b8
backward stochastic differential equationefficient frontierstochastic Riccati equationstochastic linear-quadratic optimal controldynamic mean-variance portfolio selection
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)
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