Portfolio selection: a review
From MaRDI portal
Publication:2247913
DOI10.1007/s10957-012-0208-1zbMath1296.91248MaRDI QIDQ2247913
Publication date: 30 June 2014
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-012-0208-1
Monte Carlo simulation; portfolio choice; diffusion models; Malliavin derivative; complete markets; dynamic hedging; mean-variance model; bond numeraire
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G10: Portfolio theory
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