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Latest revision as of 09:09, 30 July 2024

scientific article; zbMATH DE number 7511195
Language Label Description Also known as
English
Mean-Variance Portfolio Selection in Contagious Markets
scientific article; zbMATH DE number 7511195

    Statements

    Mean-Variance Portfolio Selection in Contagious Markets (English)
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    21 April 2022
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    efficient strategy
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    Hawkes process
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    jump-diffusion
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    linear-quadratic control
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    optimal investment
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    stochastic maximum principle
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