Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (Q5704066)
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scientific article; zbMATH DE number 2228234
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-Variance Portfolio Selection with Random Parameters in a Complete Market |
scientific article; zbMATH DE number 2228234 |
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Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (English)
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11 November 2005
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dynamic mean-variance portfolio selection
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stochastic linear-quadratic optimal control
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backward stochastic differential equation
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stochastic Riccati equation
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efficient frontier
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