Optimal mean-variance selling strategies
Year of publication: |
March 2016
|
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Authors: | Pedersen, J. L. ; Peskir, Goran |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 10.2016, 2, p. 203-220
|
Subject: | Nonlinear optimal stopping | Static optimality | Dynamic optimality | Mean-variance analysis | Smooth fit | Free-boundary problem | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Suchtheorie | Search theory |
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