Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate (Q2103521): Difference between revisions

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Revision as of 02:41, 31 July 2024

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Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
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    Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate (English)
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    14 December 2022
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    mean-variance portfolio selection
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    Vasicek interest rate
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    CIR process
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    dynamic optimality
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    backward stochastic differential equation
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