Optimal Mean-Variance Problem with Constrained Controls in a Jump-Diffusion Financial Market for an Insurer.

Junna Bi Junyi Guo

Published in: J. Optim. Theory Appl. (2013)

Keyphrases

financial markets
portfolio selection
dynamic programming
investment strategies
lagrange multipliers
management system
stock price
data mining
machine learning
information systems
trading systems
technical indicators