Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility
Year of publication: |
2021
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Authors: | Zhang, Yumo |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 9.2021, 4, Art.-No. 61, p. 1-21
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Subject: | 3/2 stochastic volatility | backward stochastic differential equation | complete market | dynamic optimality | mean-variance portfolio selection | Theorie | Theory | Experiment | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Analysis | Mathematical analysis |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks9040061 [DOI] hdl:10419/258150 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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