The mean-variance investment problem in a constrained financial market (Q859607): Difference between revisions

@@ Property / author @@
-Chun-Feng Wang
@@ Property / author: Chun-Feng Wang / rank @@
-Normal rank
@@ Property / author @@
+Chun-Feng Wang
@@ Property / author: Chun-Feng Wang / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmateco.2006.04.012
+Normal rank
@@ Property / OpenAlex ID @@
+W1965509269
@@ Property / OpenAlex ID: W1965509269 / rank @@
+Normal rank
@@ Property / cites work @@
+The variance-optimal martingale measure for continuous processes
+Normal rank
@@ Property / cites work @@
+Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
+Normal rank
@@ Property / cites work @@
+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
+Normal rank
@@ Property / cites work @@
+Claim pricing and hedging under market incompleteness and ``mean-variance'' preferences
+Normal rank
@@ Property / cites work @@
+An Intertemporal Capital Asset Pricing Model
@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic asset allocation with mean variance preferences and a solvency constraint
+Normal rank
@@ Property / cites work @@
+From actuarial to financial valuation principles
@@ Property / cites work: From actuarial to financial valuation principles / rank @@
+Normal rank
@@ Property / cites work @@
+Q3966611
@@ Property / cites work: Q3966611 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:859607