Continuous-time markowitz's problems in an incomplete market, with no-shorting portfolios

Continuous-time markowitz's problems in an incomplete market, with no-shorting portfolios

10.1007/978-3-540-70847-6-19

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Bibliographic Details
Main Authors: Jin, H., Zhou, X.Y.
Other Authors: MATHEMATICS
Format: Conference or Workshop Item
Published: 2014
Subjects:
Arbitrage-free
Attainable wealth set
Backward stochastic differential equation
Continuous time
Incomplete market
Lagrange multiplier
Mean-variance portfolio selection
Replication
Online Access:http://scholarbank.nus.edu.sg/handle/10635/104548
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Institution: National University of Singapore

Internet

http://scholarbank.nus.edu.sg/handle/10635/104548

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