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Portfolio optimization with a prescribed terminal wealth distribution - MaRDI portal

Portfolio optimization with a prescribed terminal wealth distribution (Q5068093)

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scientific article; zbMATH DE number 7503266
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English
Portfolio optimization with a prescribed terminal wealth distribution
scientific article; zbMATH DE number 7503266

    Statements

    title
    Portfolio optimization with a prescribed terminal wealth distribution (English)
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    author
    Ivan Guo
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    Nicolas Langrené
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    Grégoire Loeper
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    Wei Ning
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    publication date
    5 April 2022
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    zbMATH Keywords
    portfolio allocation
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    wealth distribution target
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    optimal mass transport
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    HJB
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    Fokker-Planck
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    93E20
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    35Q84
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    91G80
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    zbMATH DE Number
    7503266
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    OpenAlex ID
    W3198981551
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    arXiv ID
    2009.12823
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