DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION (Q3606614)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION |
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DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION (English)
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26 February 2009
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mean-variance
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fractional Brownian motion
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compound Poisson process
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completion of squares method
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efficient frontier
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