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
stochastic differential equationsNash equilibriumstochastic interest ratesubgame perfect equilibriumportfolio selectionmean-variance utility
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)
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