Optimal portfolio selection of mean-variance utility with stochastic interest rate

DOI10.1155/2020/3153297zbMath1457.91347OpenAlexW3110084988MaRDI QIDQ2220511

Shuang Li, Shican Liu, Xiang-Yu Ge, Yong-Hong Wu, Yan-Li Zhou

Publication date: 25 January 2021

Published in: Journal of Function Spaces (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/3153297

zbMATH Keywords

stochastic differential equationsNash equilibriumstochastic interest ratesubgame perfect equilibriumportfolio selectionmean-variance utility

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (1)

The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market

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