Optimal portfolio of continuous‐time mean‐variance model with futures and options (Q4585052)
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scientific article; zbMATH DE number 6932522
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio of continuous‐time mean‐variance model with futures and options |
scientific article; zbMATH DE number 6932522 |
Statements
Optimal portfolio of continuous‐time mean‐variance model with futures and options (English)
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6 September 2018
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efficient frontier
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HJB function
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optimal control
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Poisson process
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viscosity solution
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