Mean–variance portfolio selection under partial information with drift uncertainty-Reference-Cited by-同舟云学术

Mean–variance portfolio selection under partial information with drift uncertainty

Published:2021-04-08 Issue:9 Volume:21 Page:1461-1473
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Xiong Jie¹,Xu Zuo Quan²,Zheng Jiayu³

Affiliation:

1. Department of Mathematics and SUSTech International Center for Mathematics, Southern University of Science and Technology, Shenzhen 518055, People's Republic of China

2. Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong

3. Department of Math and Stat Science, University of Alberta, Edmonton, Canada

Funder

National Natural Science Foundation of China

Southern University of Science and Technology

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1889650

Reference38 articles.

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2. Bally, V., Approximation scheme for solutions of BSDE. In Backward Stochastic Differential Equations, Pitman Res. Notes Math. Ser. 364, pp. 177–191, 1997 (Longman: Harlow, UK).

3. Error analysis of the optimal quantization algorithm for obstacle problems

4. Dynamic Mean-Variance Asset Allocation

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