Optimal mean-variance portfolio selection

Authors

Keywords

Nonlinear optimal control, Static optimality, Dynamic optimality, Mean-variance analysis, The Hamilton–Jacobi–Bellman equation, Martingale, Geometric Brownian motion, Markov process, Primary 60H30, 60J65, Secondary 49L20, 91G80, C61, G11

Journal

Mathematics and Financial Economics

Volume 11, Issue 2, Pages 137-160

Publisher

Springer Nature

Online

2016-06-20

DOI

10.1007/s11579-016-0174-8

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