Markowitz strategies revised

DOI10.1016/S0252-9602(09)60072-2zbMath1212.91101OpenAlexW2040522405MaRDI QIDQ979477

Xun Yu Zhou, Jia'an Yan

Publication date: 8 July 2010

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(09)60072-2

zbMATH Keywords

expected lossstopping timecontinuous-time portfolio selectiongoal-reaching probabilityMarkowitz efficient strategies

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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