Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility (Q2280828)
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scientific article; zbMATH DE number 7145559
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| English | Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility |
scientific article; zbMATH DE number 7145559 |
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Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility (English)
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19 December 2019
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mean-variance portfolio
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open-loop stochastic control
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stochastic volatility model
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time inconsistency
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0.8225644826889038
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0.821790337562561
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0.8073158860206604
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0.7988930940628052
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