Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
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Publication:646755
DOI10.1007/s11424-011-8014-7zbMath1237.91123MaRDI QIDQ646755
Lihua Bai, Jun-Yi Guo, Jun-na Bi
Publication date: 17 November 2011
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-011-8014-7
viscosity solution; HJB equation; verification theorem; optimal investment; mean-variance portfolio selection
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