Optimal portfolio management in a modified constant elasticity of variance model
type: Item
instance of: scholarly article
title: Optimal portfolio management in a modified constant elasticity of variance model
zbMATH Open document ID: 1386.91129
author: D. L. Muravei
published in: Computational Mathematics and Modeling
publication date: 2018-04-11T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6858335
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: statistical arbitrage
zbMATH Keywords: M-CEV model
zbMATH Keywords: boundary-value problem
MaRDI profile type: Publication
full work available at URL: s10598-018-9393-6
OpenAlex ID: W2782283647
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DOI: 10.1007/S10598-018-9393-6
describes a project that uses: Digital Library of Mathematical Functions
description: scientific article; zbMATH DE number 6858335