Continuous-time mean-variance portfolio selection with only risky assets
Haixiang Yao; Zhongfei Li; Shumin Chen
| Year of publication: |
2014
|
|---|---|
| Authors: | Yao, Haixiang ; Li, Zhongfei ; Chen, Shumin |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 36.2014, p. 244-251
|
| Subject: | Continuous time mean-variance | Hamilton-Jacobi-Bellman equation | Portfolio selection | Dynamic programming | Two-fund separation theorem | Theorie | Theory | Portfolio-Management | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | CAPM |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010412352