Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
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- Carole Bernard & Shaolin Ji & Weidong Tian, 2013. "An optimal insurance design problem under Knightian uncertainty," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(2), pages 99-124, November.
- Ji, Shaolin & Shi, Xiaomin, 2018. "Reaching goals under ambiguity: Continuous-time optimal portfolio selection," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 63-69.
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Keywords
Continuous time mean-variance portfolio selection Backward stochastic differential equation (BSDE) Terminal perturbation method Dual method Ekeland's variational principle;Statistics
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