Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility (Q2280828)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility |
scientific article |
Statements
Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility (English)
0 references
19 December 2019
0 references
mean-variance portfolio
0 references
open-loop stochastic control
0 references
stochastic volatility model
0 references
time inconsistency
0 references
0 references
0 references
0 references
0 references
0 references
0 references
