SCOPUS 정보 검색 플랫폼

Volumn 27, Issue 1, 2002, Pages 101-120

Mean-variance portfolio selection with random parameters in a complete market

a Columbia University ^* (United States)

b CHINESE UNIVERSITY OF HONG KONG (Hong Kong)

Author keywords

Backward stochastic differential equation; Dynamic mean variance portfolio selection; Efficient frontier; Stochastic linear quadratic optimal control; Stochastic Riccati equation

Indexed keywords

INDUSTRIAL ECONOMICS; OPTIMAL CONTROL SYSTEMS; RANDOM PROCESSES; RICCATI EQUATIONS; STOCHASTIC CONTROL SYSTEMS; STRATEGIC PLANNING;

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS (BSDE);

OPERATIONS RESEARCH;

EID: 0036474071 PISSN: 0364765X EISSN: None Source Type: Journal
DOI: 10.1287/moor.27.1.101.337 Document Type: Article

Times cited : (222)

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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.