Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients
type: Item
instance of: scholarly article
title: Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients
author: Shaolin Ji
author: Hanqing Jin
author: Xiao-Min Shi
published in: European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
publication date: 2024-06-26T00:00:00Z
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7871738
zbMATH Keywords: mean-variance portfolio selection
zbMATH Keywords: non-linear wealth dynamic
zbMATH Keywords: Riccati equation
zbMATH Keywords: convex duality
zbMATH Keywords: variance-optimal martingale measure
MaRDI profile type: MaRDI publication profile
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DOI: 10.1051/COCV/2024033
description: scientific article; zbMATH DE number 7871738