Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (Q4537800)
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scientific article; zbMATH DE number 1758244
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints |
scientific article; zbMATH DE number 1758244 |
Statements
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (English)
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23 June 2002
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mean-variance portfolio selection
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short-selling constraints
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stochastic LQ control
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HJB equation
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viscosity solution
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efficient frontier
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