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Q3513936 - MaRDI portal

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    author
    Wei Yan
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    Shu-Rong Li
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    Huanquan Sun
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    publication date
    6 August 2008
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    Mathematics Subject Classification ID
    91G10
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    91B30
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    93E03
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    zbMATH DE Number
    5308364
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    zbMATH Keywords
    mean-variance portfolio selection
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    efficient frontier
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    stochastic LQ control
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    stochastic HJB equation
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