Continuous-time mean-variance efficiency: the 80\% rule
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Publication:997400
DOI10.1214/105051606000000349zbMath1132.91472arXivmath/0702249OpenAlexW3106108365MaRDI QIDQ997400
Publication date: 6 August 2007
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0702249
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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