| Continuous-time mean-variance portfolio selection with random horizon in an incomplete market | |
| Lv, Siyu; Wu, Zhen; Yu, Zhiyong | |
| 刊名 | AUTOMATICA
 |
| 2016 | |
| 卷号 | 69页码:176-180 |
| 关键词 | Mean-variance model Stochastic LQ control Backward stochastic differential equation BMO-martingale |
| DOI | 10.1016/j.automatica.2016.02.017 |
| URL标识 | 查看原文 |
| 内容类型 | 期刊论文 |
| URI标识 | http://www.corc.org.cn/handle/1471x/4697584 |
| 专题 | 山东大学 |
| 作者单位 | Shandong Univ, Sch Math, Jinan 250100, Peoples R China. |
| 推荐引用方式 GB/T 7714 | Lv, Siyu,Wu, Zhen,Yu, Zhiyong. Continuous-time mean-variance portfolio selection with random horizon in an incomplete market[J]. AUTOMATICA,2016,69:176-180. |
| APA | Lv, Siyu,Wu, Zhen,&Yu, Zhiyong.(2016).Continuous-time mean-variance portfolio selection with random horizon in an incomplete market.AUTOMATICA,69,176-180. |
| MLA | Lv, Siyu,et al."Continuous-time mean-variance portfolio selection with random horizon in an incomplete market".AUTOMATICA 69(2016):176-180. |
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