Mean-risk portfolio selection models in continuous time
This paper is concerned with continuous-time portfolio selection models where the objective is to minimize the risk subject to a prescribed expected payoff at the terminal time. The risk is measured by the expectation of a certain function of the deviation of the terminal payoff from its mean. First...
| Hlavní autoři: | , , |
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| Médium: | Journal article |
| Jazyk: | English |
| Vydáno: |
2004
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