Pang, Wan-Kai; Ni, Yuan-Hua; Li, Xun; Yiu, Ka-Fai Cedric - arXiv.org - 2013
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a bond. In the considered model firstly proposed by [3], the...