Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences - Stochastic Factor Case

@article{Trybula2019ContinuousTimePC,
  title={Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences - Stochastic Factor Case},
  author={Jakub Trybula and Dariusz Zawisza},
  journal={Math. Oper. Res.},
  year={2019},
  volume={44},
  pages={966-987}
}
  • Jakub Trybula, Dariusz Zawisza
  • Published 2019
  • Mathematics, Economics, Computer Science
  • Math. Oper. Res.
  • We consider an incomplete market with a nontradable stochastic factor and a continuous-time investment problem with an optimality criterion based on monotone mean-variance preferences. We formulate... 

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