Dynamic mean-variance portfolio selection with borrowing constraint (Q2379565)
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scientific article; zbMATH DE number 5685150
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| English | Dynamic mean-variance portfolio selection with borrowing constraint |
scientific article; zbMATH DE number 5685150 |
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Dynamic mean-variance portfolio selection with borrowing constraint (English)
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19 March 2010
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continuous-time finance
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optimal portfolio
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mean-variance portfolio selection
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borrowing rate
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efficient frontier
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stochastic PLQ control
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HJB equation
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0.8627951145172119
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0.8627917766571045
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0.8392010927200317
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0.833429753780365
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0.8312954306602478
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