Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure

DOI10.1111/mafi.12093arXiv1403.0718OpenAlexW2139460490WikidataQ57445401 ScholiaQ57445401MaRDI QIDQ6249504

Xun Li, Li, Duan, Xiangyu Cui

Publication date: 4 March 2014

Full work available at URL: https://doi.org/10.1111/mafi.12093

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

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