DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION

DOI10.1142/S0219024918500115zbMath1395.91420OpenAlexW2903042244MaRDI QIDQ4634639

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Publication date: 11 April 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500115

zbMATH Keywords

financial marketspartial informationmean-variance hedgingmean-variance portfolio selectiondeterministic strategiesquadratic optimization problemsrestricted informationtype (A) semimartingales

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items

Short Communication: A Note on Utility Indifference Pricing with Delayed Information, On lower partial moments for the investment portfolio with variance-gamma distributed returns

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