Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
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Publication:5704164
DOI10.1287/moor.1030.0065zbMath1082.91050OpenAlexW2102063802MaRDI QIDQ5704164
Publication date: 11 November 2005
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/1d41731c6c376cf7ac4276d68fd6b4688f2bc349
linear-quadratic optimal controlbackward stochastic differential equationsincomplete marketsefficient frontierstochastic Riccati equationmean-variance portfolio selectionquadratic hedgingMutual Fund Theorem
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)
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