The optimal mean-variance investment strategy under value-at-risk constraints (Q2445346)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The optimal mean-variance investment strategy under value-at-risk constraints |
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The optimal mean-variance investment strategy under value-at-risk constraints (English)
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14 April 2014
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value-at-risk
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mean-variance portfolio
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Hamilton-Jacobi-Bellman equation
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optimal investment strategy
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