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Property / full work available at URL: https://doi.org/10.3934/jimo.2016072 / rank
 
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Latest revision as of 20:24, 13 July 2024

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Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
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    Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset (English)
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    22 May 2017
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    continuous-time mean-variance model
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    efficient investment strategy
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    efficient frontier
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    Sharpe ratio
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    Hamilton-Jacobi-Bellman equation
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