Dynamic Mean-Variance Asset Allocation in General Incomplete Markets A Nonlocal BSDE-based Feedback Control Approach

Fuente: arXiv

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Bibliographic Details
Main Authors:	Lei, Qian, Pun, Chi Seng, Tang, Jingxiang
Format:	Preprint
Published:	2024
Subjects:	Mathematical Finance Optimization and Control Probability 49L20, 60H10, 91G10, 45D05
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2412.18498