Continuous-time mean-variance optimal portfolio selection with regime switching when stock prices follow geometric Levy processes (Q2887584)
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scientific article; zbMATH DE number 6041983
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-time mean-variance optimal portfolio selection with regime switching when stock prices follow geometric Levy processes |
scientific article; zbMATH DE number 6041983 |
Statements
1 June 2012
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regime switching
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geometric Levy process
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mean-variance model
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efficient frontier
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Continuous-time mean-variance optimal portfolio selection with regime switching when stock prices follow geometric Levy processes (English)
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