Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation

Journal of Economic Dynamics and Control

Volumn 34, Issue 2, 2010, Pages 207-230

  Wang, J ^a   Forsyth, P A ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

HJB equation; Mean variance tradeoff; Optimal control; Viscosity solution

Indexed keywords

EID: 72549091850     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2009.09.002     Document Type: Article

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