Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
type: Item
instance of: scholarly article
title: Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
zbMATH Open document ID: 1505.91356
author: Yumo Zhang
published in: Annals of Finance
publication date: 2022-12-14T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 7632782
zbMATH Keywords: mean-variance portfolio selection
zbMATH Keywords: Vasicek interest rate
zbMATH Keywords: CIR process
zbMATH Keywords: dynamic optimality
zbMATH Keywords: backward stochastic differential equation
MaRDI profile type: Publication
full work available at URL: s10436-022-00414-x
OpenAlex ID: W4294053308
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DOI: 10.1007/S10436-022-00414-X
description: scientific article; zbMATH DE number 7632782