Mean–variance efficiency with extended CIR interest rates (Q5391296): Difference between revisions

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Revision as of 22:20, 3 July 2024

scientific article; zbMATH DE number 5875040
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English
Mean–variance efficiency with extended CIR interest rates
scientific article; zbMATH DE number 5875040

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    Mean–variance efficiency with extended CIR interest rates (English)
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    6 April 2011
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    mean-variance portfolio
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    continuous-time framework
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    extended CIR model
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    backward stochastic differential equations
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    Riccati equations
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