Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability (Q943498)
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scientific article; zbMATH DE number 5323403
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| English | Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability |
scientific article; zbMATH DE number 5323403 |
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Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability (English)
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9 September 2008
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mean-variance analysis
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exogenous liability
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singular second moment matrices
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orthogonal transformations
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dynamic programming methods
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0.81847465
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0.8168123
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0.8167676
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0.81555235
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0.8116371
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0.81074005
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0.8036116
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0.8029671
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