Mean-variance portfolio selection under a constant elasticity of variance model
type: Item
instance of: scholarly article
title: Mean-variance portfolio selection under a constant elasticity of variance model
zbMATH Open document ID: 1408.91203
author: Yang Shen
author: Xin Zhang
author: Tak Kuen Siu
published in: Operations Research Letters
publication date: 2018-09-28T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6945275
zbMATH Keywords: mean-variance portfolio selection
zbMATH Keywords: constant elasticity of variance model
zbMATH Keywords: backward stochastic Riccati equation
zbMATH Keywords: efficient frontier
MaRDI profile type: Publication
full work available at URL: j.orl.2014.05.008
OpenAlex ID: W2041877085
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DOI: 10.1016/J.ORL.2014.05.008
description: scientific article; zbMATH DE number 6945275