Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability

DOI10.1007/s10114-007-5261-6zbMath1189.90185OpenAlexW1991589476MaRDI QIDQ943498

Zhong-Xing Ye, Wencai Chen

Publication date: 9 September 2008

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-007-5261-6

zbMATH Keywords

mean-variance analysisorthogonal transformationsdynamic programming methodsexogenous liabilitysingular second moment matrices

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Dynamic programming (90C39) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

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