Mean-variance portfolio selection under a constant elasticity of variance model (Q1785248)
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scientific article; zbMATH DE number 6945275
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| English | Mean-variance portfolio selection under a constant elasticity of variance model |
scientific article; zbMATH DE number 6945275 |
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Mean-variance portfolio selection under a constant elasticity of variance model (English)
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28 September 2018
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mean-variance portfolio selection
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constant elasticity of variance model
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backward stochastic Riccati equation
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efficient frontier
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0.8806506991386414
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0.8748834729194641
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0.8733601570129395
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0.8679884076118469
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0.8504788875579834
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