Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints (Q3578798)
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scientific article; zbMATH DE number 5758797
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| English | Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints |
scientific article; zbMATH DE number 5758797 |
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Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints (English)
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20 July 2010
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mean-variance criterion
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HJB equation
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numerical method
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Poisson process
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0.92779994
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0.92776465
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0.9158476
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0.9053378
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0.9022913
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0.9002098
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0.8955539
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