Convex duality in constrained mean-variance portfolio optimization (Q3435391): Difference between revisions

@@ Property / author @@
+Andrew J. Heunis
@@ Property / author: Andrew J. Heunis / 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/10.1239/aap/1175266470
+Normal rank
@@ Property / OpenAlex ID @@
+W2050511960
@@ Property / OpenAlex ID: W2050511960 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4943597
@@ Property / cites work: Q4943597 / rank @@
+Normal rank
@@ Property / cites work @@
+Conjugate convex functions in optimal stochastic control
+Normal rank
@@ Property / cites work @@
+Q4040465
@@ Property / cites work: Q4040465 / rank @@
+Normal rank
@@ Property / cites work @@
+A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements
+Normal rank
@@ Property / cites work @@
+Convex duality in constrained portfolio optimization
+Normal rank
@@ Property / cites work @@
+Necessary conditions for a weak extremum in optimal control problems with mixed constraints of the inequality type
+Normal rank
@@ Property / cites work @@
+Q4702909
@@ Property / cites work: Q4702909 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4039796
@@ Property / cites work: Q4039796 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
+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 @@
+Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
+Normal rank
@@ Property / cites work @@
+Q4429138
@@ Property / cites work: Q4429138 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal control
@@ Property / cites work: Optimal control / rank @@
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank