Optimal mean-variance portfolio selection

Jesper Lund Pedersen, Goran Peskir

Year of publication:	March 2017
Authors:	Pedersen, Jesper Lund ; Peskir, Goran
Published in:	Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 11.2017, 2, p. 137-160
Subject:	Nonlinear optimal control \| Static optimality \| Dynamic optimality \| Mean-variance analysis \| The Hamilton-Jacobi-Bellman equation \| Martingale \| Geometric Brownian motion \| Markov process \| Theorie \| Theory \| Portfolio-Management \| Portfolio selection \| Mathematische Optimierung \| Mathematical programming \| Markov-Kette \| Markov chain \| Stochastischer Prozess \| Stochastic process \| Dynamische Optimierung \| Dynamic programming \| Martingal

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