Explicit efficient frontier of a continuous-time mean-variance portfolio selection problem (Q2712239)
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scientific article; zbMATH DE number 1594459
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| English | Explicit efficient frontier of a continuous-time mean-variance portfolio selection problem |
scientific article; zbMATH DE number 1594459 |
Statements
30 October 2001
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portfolio selection problem
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bi-criteria optimization problem
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stochastic control problem
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stochastic linear-quadratic (LQ) problems
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Explicit efficient frontier of a continuous-time mean-variance portfolio selection problem (English)
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0.8585938215255737
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0.833223283290863
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0.8283878564834595
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