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Latest revision as of 14:14, 2 July 2024

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Dynamic mean-variance portfolio selection with borrowing constraint
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    Dynamic mean-variance portfolio selection with borrowing constraint (English)
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    19 March 2010
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    continuous-time finance
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    optimal portfolio
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    mean-variance portfolio selection
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    borrowing rate
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    efficient frontier
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    stochastic PLQ control
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    HJB equation
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