Mean-variance portfolio selection under no-shorting rules: a BSDE approach (Q6174059)

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scientific article; zbMATH DE number 7712459
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Mean-variance portfolio selection under no-shorting rules: a BSDE approach
scientific article; zbMATH DE number 7712459

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    Mean-variance portfolio selection under no-shorting rules: a BSDE approach (English)
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    13 July 2023
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    mean-variance portfolio selection
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    short-selling prohibition
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    efficient frontier
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    HJB equation
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    recursive utility
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    viscosity solution
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