Continuous Time Mean-Variance Portfolio Selection Problem
This thesis is devoted to Markowitz's mean-variance portfolio selection problem in continuous time financial markets, where we aim to minimise the risk of the investment, which is expressed by the variance of the terminal wealth, with a given level of expected return. This thesis consists of an...
Main Author: | Li, K |
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Format: | Thesis |
Published: |
University of Oxford;Mathematics
2008
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