A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging (Q3121440)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging |
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A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging (English)
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18 March 2019
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mean-variance portfolio selection
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continuous-time
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mean-variance hedging
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continuous semimartingale model
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Lagrange multiplier method
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