Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models
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Publication:5045197
DOI10.1137/22M1487527MaRDI QIDQ5045197
Publication date: 4 November 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2205.15905
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)
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Cites Work
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