Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients (Q6562462)
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scientific article; zbMATH DE number 7871738
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients |
scientific article; zbMATH DE number 7871738 |
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Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients (English)
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26 June 2024
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mean-variance portfolio selection
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non-linear wealth dynamic
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Riccati equation
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convex duality
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variance-optimal martingale measure
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