Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
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Publication:2397571
DOI10.3934/jimo.2016072zbMath1361.90047OpenAlexW2531065808MaRDI QIDQ2397571
Yan Zeng, Xun Li, Haixiang Yao, Zhong-Fei Li
Publication date: 22 May 2017
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2016072
Hamilton-Jacobi-Bellman equationSharpe ratioefficient frontierefficient investment strategycontinuous-time mean-variance model
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