Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints (Q3578798)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints |
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Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints (English)
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20 July 2010
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mean-variance criterion
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HJB equation
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numerical method
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Poisson process
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