Continuous-time portfolio choice under monotone mean-variance preferences : stochastic factor case

Jakub Trybuła, Dariusz Zawisza

Year of publication:	2019
Authors:	Trybuła, Jakub ; Zawisza, Dariusz
Published in:	Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 44.2019, 3, p. 966-987
Subject:	stochastic control \| portfolio optimization \| dynamic game \| Markowitz problem \| stochastic factor model \| Heston model \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process

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