Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching
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Publication:781061
DOI10.3934/jimo.2018166zbMath1474.91253OpenAlexW2895856950WikidataQ128980595 ScholiaQ128980595MaRDI QIDQ781061
Publication date: 16 July 2020
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2018166
Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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