Mean-variance portfolio selection with discontinuous prices and random horizon in an incomplete market
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Computer Science
Link
http://link.springer.com/content/pdf/10.1007/s11432-018-9531-7.pdf
Reference8 articles.
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2. Li D, Ng W L. Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Math Finance, 2000, 10: 387–406
3. Zhou X Y. Continuous-time mean-variance portfolio selection: a stochastic LQ framework. Appl Math Optimization, 2000, 42: 19–33
4. Lim A E B. Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market. Math OR, 2004, 29: 132–161
5. Lim A E B. Mean-variance hedging when there are jumps. SIAM J Control Optim, 2005, 44: 1893–1922
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