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Property / DOI: 10.1007/s00245-013-9209-1 / rank
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Latest revision as of 16:00, 18 December 2024

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Continuous-time mean-variance portfolio selection with random horizon
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    Continuous-time mean-variance portfolio selection with random horizon (English)
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    24 March 2014
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    backward stochastic differential equation
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    mean-variance portfolio selection
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    random time horizon
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    linear-quadratic control
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    continuous time
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