Global-asset portfolio decision optimization with random parameters in the framework of LQ theory (Q2885638)
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scientific article; zbMATH DE number 6040552
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Global-asset portfolio decision optimization with random parameters in the framework of LQ theory |
scientific article; zbMATH DE number 6040552 |
Statements
1 June 2012
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mean-variance
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stochastic coefficients
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optimal investment strategy
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efficient frontier
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Riccati equation
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Global-asset portfolio decision optimization with random parameters in the framework of LQ theory (English)
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