Mean-variance portfolio selection with random investment horizon

DOI10.3934/jimo.2022147OpenAlexW4300508183MaRDI QIDQ2691411

Xun Li, Jingzhen Liu, Tak Kuen Siu, Ka-Fai Cedric Yiu, Kok Lay Teo

Publication date: 29 March 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022147

zbMATH Keywords

HJB equationsefficient frontiermean variancerandom time horizon

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites Work

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