Mean-variance portfolio selection in presence of infrequently traded stocks (Q2514715)
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scientific article; zbMATH DE number 6395713
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| English | Mean-variance portfolio selection in presence of infrequently traded stocks |
scientific article; zbMATH DE number 6395713 |
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Mean-variance portfolio selection in presence of infrequently traded stocks (English)
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3 February 2015
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Markowitz' model
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thin stocks
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mean-variance utility function
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jump-diffusion dynamics
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stochastic control problem
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Monte Carlo
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0.7716150283813477
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0.7708366513252258
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0.7535604238510132
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0.7500852346420288
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