Continuous-time mean–variance portfolio selection with value-at-risk and no-shorting constraints (Q5745553)
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scientific article; zbMATH DE number 6252440
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-time mean–variance portfolio selection with value-at-risk and no-shorting constraints |
scientific article; zbMATH DE number 6252440 |
Statements
Continuous-time mean–variance portfolio selection with value-at-risk and no-shorting constraints (English)
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30 January 2014
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HJB equation
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no-shorting constraint
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discontinuous prices
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VaR constraint
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Poisson process
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