Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach (Q931178)
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scientific article; zbMATH DE number 5292532
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach |
scientific article; zbMATH DE number 5292532 |
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Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach (English)
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25 June 2008
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portfolio selection
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asset-liability management
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continuous-time
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mean-variance model
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stochastic linear-quadratic control
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