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MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET - MaRDI portal

MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET (Q5472785)

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scientific article; zbMATH DE number 5031641
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MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
scientific article; zbMATH DE number 5031641

    Statements

    title
    MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET (English)
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    author
    Jia'an Yan
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    Jian-ming Xia
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    publication date
    12 June 2006
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    zbMATH Keywords
    mean-variance portfolios
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    convex duality
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    signed martingale measures
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    attainable claims
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    Lévy processes
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    cites work

    Identifiers

    zbMATH DE Number
    5031641
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    OpenAlex ID
    W2014943030
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