OPTIMAL MEAN–VARIANCE PORTFOLIO SELECTION WITH NO-SHORT-SELLING CONSTRAINT (Q5854325)
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scientific article; zbMATH DE number 7323557
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL MEAN–VARIANCE PORTFOLIO SELECTION WITH NO-SHORT-SELLING CONSTRAINT |
scientific article; zbMATH DE number 7323557 |
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OPTIMAL MEAN–VARIANCE PORTFOLIO SELECTION WITH NO-SHORT-SELLING CONSTRAINT (English)
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16 March 2021
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constrained nonlinear optimal control
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static optimality
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dynamic optimality
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mean-variance portfolio selection
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Hamilton-Jacobi-Bellman equation
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verification theorem
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change-of-variable formula with local time on curves
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