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Search: subject:"Static optimality"
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Dynamic programming
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the Hamilton-Jacobi-Bellman equation
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the change-of-variable formula with local time on curves
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Peskir, Goran
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Pedersen, J. L.
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Mathematics and financial economics
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International journal of theoretical and applied finance
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Optimal mean-variance portfolio selection with no-short-selling constraint
Xu, Jingsi
- In:
International journal of theoretical and applied finance
23
(
2020
)
8
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012496930
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Optimal mean-variance portfolio selection
Pedersen, Jesper Lund
;
Peskir, Goran
- In:
Mathematics and financial economics
11
(
2017
)
2
,
pp. 137-160
Persistent link: https://www.econbiz.de/10011900522
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3
Optimal mean-variance selling strategies
Pedersen, J. L.
;
Peskir, Goran
- In:
Mathematics and financial economics
10
(
2016
)
2
,
pp. 203-220
Persistent link: https://www.econbiz.de/10011485912
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