Mean-variance portfolio selection in a complete market with unbounded random coefficients
type: Item
instance of: scholarly article
title: Mean-variance portfolio selection in a complete market with unbounded random coefficients
zbMATH Open document ID: 1377.93180
author: Yang Shen
published in: Automatica
publication date: 2018-01-12T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 49N10
zbMATH DE Number: 6825336
zbMATH Keywords: mean-variance portfolio selection
zbMATH Keywords: unbounded random coefficients
zbMATH Keywords: exponential integrability
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: matrix exponential
zbMATH Keywords: Sturm-Liouville theory
MaRDI profile type: Publication
full work available at URL: j.automatica.2015.03.009
OpenAlex ID: W2046044763
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DOI: 10.1016/J.AUTOMATICA.2015.03.009
description: scientific article; zbMATH DE number 6825336