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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sg-nus-scholar.10635-1045482015-03-03T20:59:52Z Continuous-time markowitz's problems in an incomplete market, with no-shorting portfolios Jin, H. Zhou, X.Y. MATHEMATICS Arbitrage-free Attainable wealth set Backward stochastic differential equation Continuous time Incomplete market Lagrange multiplier Mean-variance portfolio selection Replication 10.1007/978-3-540-70847-6-19 Stochastic Analysis and Applications: The Abel Symposium 2005 - Proceedings of the 2nd Abel Symposium, Held in Honor of Kiyosi Ito 435-459 2014-10-28T02:50:44Z 2014-10-28T02:50:44Z 2007 Conference Paper Jin, H.,Zhou, X.Y. (2007). Continuous-time markowitz's problems in an incomplete market, with no-shorting portfolios. Stochastic Analysis and Applications: The Abel Symposium 2005 - Proceedings of the 2nd Abel Symposium, Held in Honor of Kiyosi Ito : 435-459. ScholarBank@NUS Repository. <a href="https://doi.org/10.1007/978-3-540-70847-6-19" target="_blank">https://doi.org/10.1007/978-3-540-70847-6-19</a> 3540708464 http://scholarbank.nus.edu.sg/handle/10635/104548 NOT_IN_WOS Scopus |
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National University of Singapore |
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NUS Library |
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Singapore |
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ScholarBank@NUS |
| topic |
Arbitrage-free Attainable wealth set Backward stochastic differential equation Continuous time Incomplete market Lagrange multiplier Mean-variance portfolio selection Replication |
| spellingShingle |
Arbitrage-free Attainable wealth set Backward stochastic differential equation Continuous time Incomplete market Lagrange multiplier Mean-variance portfolio selection Replication Jin, H. Zhou, X.Y. Continuous-time markowitz's problems in an incomplete market, with no-shorting portfolios |
| description |
10.1007/978-3-540-70847-6-19 |
| author2 |
MATHEMATICS |
| author_facet |
MATHEMATICS Jin, H. Zhou, X.Y. |
| format |
Conference or Workshop Item |
| author |
Jin, H. Zhou, X.Y. |
| author_sort |
Jin, H. |
| title |
Continuous-time markowitz's problems in an incomplete market, with no-shorting portfolios |
| title_short |
Continuous-time markowitz's problems in an incomplete market, with no-shorting portfolios |
| title_full |
Continuous-time markowitz's problems in an incomplete market, with no-shorting portfolios |
| title_fullStr |
Continuous-time markowitz's problems in an incomplete market, with no-shorting portfolios |
| title_full_unstemmed |
Continuous-time markowitz's problems in an incomplete market, with no-shorting portfolios |
| title_sort |
continuous-time markowitz's problems in an incomplete market, with no-shorting portfolios |
| publishDate |
2014 |
| url |
http://scholarbank.nus.edu.sg/handle/10635/104548 |
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1681093126422265856 |