Dynamic mean-variance portfolio analysis under model risk
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Publication:3404358
DOI10.21314/JCF.2009.202zbMath1181.91297OpenAlexW1935244738MaRDI QIDQ3404358
Panos Parpas, Daniel Kuhn, Raquel J. Fonseca, Berc Rustem
Publication date: 8 February 2010
Published in: The Journal of Computational Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21314/jcf.2009.202
Numerical methods (including Monte Carlo methods) (91G60) Minimax problems in mathematical programming (90C47) Dynamic programming (90C39) Portfolio theory (91G10)
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