Goal achieving probabilities of cone-constrained mean-variance portfolios (Q6571860)
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scientific article; zbMATH DE number 7880618
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Goal achieving probabilities of cone-constrained mean-variance portfolios |
scientific article; zbMATH DE number 7880618 |
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Goal achieving probabilities of cone-constrained mean-variance portfolios (English)
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12 July 2024
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mean-variance portfolio
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conic trading constraints
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incomplete market
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continuous-time market model driven by a Brownian motion
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deterministic coefficients
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Black-Scholes model
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first passage times
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double barrier
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