DOI10.1111/mafi.12241MaRDI QIDQ5855952
Aleš Černý
Publication date: 23 March 2021 Published in: Mathematical Finance (Search for Journal in Brave) Full work available at URL: https://arxiv.org/abs/1903.06912
zbMATH Keywords
monotone mean-variance; free cash-flow stream; monotone Sharpe ratio
Mathematics Subject Classification ID
60G48: Generalizations of martingales
91G10: Portfolio theory