A Minimum Variance Result in Continuous Trading Portfolio Optimization (Q4732270)
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scientific article; zbMATH DE number 4118103
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A Minimum Variance Result in Continuous Trading Portfolio Optimization |
scientific article; zbMATH DE number 4118103 |
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A Minimum Variance Result in Continuous Trading Portfolio Optimization (English)
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1989
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portfolio optimization
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finance
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stochastic control
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martingales
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Hilbert space applications
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variance of discounted wealth
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investment goal
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geometric Brownian motion
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optimal trading policy
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0.8009699583053589
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0.7971369028091431
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0.7891486287117004
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