Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
type: Item
instance of: scholarly article
title: Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
zbMATH Open document ID: 1237.91123
author: Lihua Bai
author: Junna Bi
author: Junyi Guo
published in: Journal of Systems Science and Complexity
publication date: 2011-11-17T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 5973940
zbMATH Keywords: HJB equation
zbMATH Keywords: mean-variance portfolio selection
zbMATH Keywords: optimal investment
zbMATH Keywords: verification theorem
zbMATH Keywords: viscosity solution
MaRDI profile type: Publication
full work available at URL: s11424-011-8014-7
OpenAlex ID: W2035294824
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DOI: 10.1007/S11424-011-8014-7
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description: scientific article; zbMATH DE number 5973940