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Dynamic mean-variance model with borrowing constraint under the constant elasticity of variance process - MaRDI portal

Dynamic mean-variance model with borrowing constraint under the constant elasticity of variance process

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Publication:1789866

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DOI10.1155/2013/348059zbMath1397.91548OpenAlexW1977196880WikidataQ59005472 ScholiaQ59005472MaRDI QIDQ1789866

Xi-Min Rong, Hao Chang

Publication date: 10 October 2018

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/348059

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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