Continuous-time Markowitz's model with constraints on wealth and portfolio (Q1709945)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-time Markowitz's model with constraints on wealth and portfolio |
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Continuous-time Markowitz's model with constraints on wealth and portfolio (English)
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15 January 2019
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Markowitz's mean-variance model
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bankruptcy prohibition
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convex cone constraints
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efficient frontier
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stochastic LQ control
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HJB equation
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