Comparison of mean variance like strategies for optimal asset allocation problems
Year of publication: |
2012
|
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Authors: | Wang, J. ; Forsyth, Peter A. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 2, p. 1-32
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Subject: | Mean quadratic variation investment policy | mean variance asset allocation | HJB equation | optimal control | Theorie | Theory | Portfolio-Management | Portfolio selection |
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