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scientific article; zbMATH DE number 2015387 - MaRDI portal

scientific article; zbMATH DE number 2015387

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Publication:4438222

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zbMath1076.91021MaRDI QIDQ4438222

Richard H. Stockbridge

Publication date: 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Portfolio volatility Merton problem mean return rate

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (3)

Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model ⋮ Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching ⋮ Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution

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