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Optimal selection portfolio problem: a semi-linear PDE approach - MaRDI portal

Optimal selection portfolio problem: a semi-linear PDE approach (Q4648583)

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scientific article; zbMATH DE number 6104703
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English
Optimal selection portfolio problem: a semi-linear PDE approach
scientific article; zbMATH DE number 6104703

    Statements

    title
    Optimal selection portfolio problem: a semi-linear PDE approach (English)
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    author
    Amina Zeghal
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    Mohammed Mnif
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    published in
    Stochastics
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    publication date
    9 November 2012
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    zbMATH Keywords
    stochastic volatility
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    optimal portfolio
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    semi-linear partial differential equation
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    smooth solution
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    backward stochastic differential equation
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    regression on function bases
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G60
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    93E20
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    35Q91
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    60H30
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    60H10
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    zbMATH DE Number
    6104703
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    OpenAlex ID
    W2035817749
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