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Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time
mean-variance criterion Markowitz problem portfolio optimisation time consistency time-inconsistent optimal control
2012/6/5
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman's optimality principle and therefore the usual dyna...
Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
Mean-Variance Hedging Pricing European Options Non-continuous Trading
2010/4/28
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...