A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging

DOI Web Site 参考文献11件 オープンアクセス

説明

<p>In this paper, an explicit solution to a continuous-time mean-variance portfolio selection problem in a continuous semimartingale model is provided through the Lagrange multiplier method and results of a mean-variance hedging problem. Without reformulation of the problem which is usually employed in the literature, we get a more straightforward method of solution than earlier studies.</p>

収録刊行物

  • JSIAM Letters

    JSIAM Letters 11 (0), 25-28, 2019

    一般社団法人 日本応用数理学会

参考文献 (11)*注記

もっと見る

関連プロジェクト

もっと見る

詳細情報 詳細情報について

問題の指摘

ページトップへ