Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints (Q3578798): Difference between revisions

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Latest revision as of 01:37, 3 July 2024

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Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints
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    Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints (English)
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    20 July 2010
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    mean-variance criterion
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    HJB equation
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    numerical method
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    Poisson process
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