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Mean-variance portfolio selection with discontinuous prices and random horizon in an incomplete market

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Acknowledgements

This work was supported by National Natural Science Foundation of China (Grant No. 61573217), 111 Project (Grant No. B12023), National High-Level Personnel of the Special Support Program, the Chang Jiang Scholar Program of the Chinese Education Ministry, and the Distinguished Middle-Aged and Young Scientist Encouragement and Reward Foundation of Shandong Province (Grant No. ZR2017BA033).

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Authors and Affiliations

  1. School of Mathematics and Statistics, Shandong Normal University, Jinan, 250014, China

    Haiyang Wang

  2. School of Mathematics, Shandong University, Jinan, 250100, China

    Zhen Wu

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  1. Haiyang Wang
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  2. Zhen Wu
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Correspondence to Zhen Wu.

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Wang, H., Wu, Z. Mean-variance portfolio selection with discontinuous prices and random horizon in an incomplete market. Sci. China Inf. Sci. 63, 179202 (2020). https://doi.org/10.1007/s11432-018-9531-7

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  • DOI: https://doi.org/10.1007/s11432-018-9531-7

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