Optimal portfolio of continuous‐time mean‐variance model with futures and options

DOI10.1002/OCA.2404zbMath1396.91707OpenAlexW2783723797MaRDI QIDQ4585052

Wei Yan

Publication date: 6 September 2018

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2404

zbMATH Keywords

optimal controlviscosity solutionPoisson processefficient frontierHJB function

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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