Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching (Q781061)
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scientific article; zbMATH DE number 7221664
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching |
scientific article; zbMATH DE number 7221664 |
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Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching (English)
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16 July 2020
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no-shorting constraint
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regime-switching
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mean-variance
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efficient frontier
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Riccati equation
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0.95627713
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0.9525888
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0.9472517
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0.94708115
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0.94494355
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0.9328817
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0.93018824
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0.9281281
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