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DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION - MaRDI portal

DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION (Q4634639)

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scientific article; zbMATH DE number 6858061
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English
DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION
scientific article; zbMATH DE number 6858061

    Statements

    title
    DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION (English)
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    publication date
    11 April 2018
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    zbMATH Keywords
    mean-variance hedging
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    mean-variance portfolio selection
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    restricted information
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    partial information
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    deterministic strategies
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    quadratic optimization problems
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    financial markets
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    type (A) semimartingales
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60G42
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    60H30
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    zbMATH DE Number
    6858061
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    OpenAlex ID
    W2903042244
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