Continuous-time mean-risk portfolio selection
This paper is concerned with continuous-time portfolio selection models in a complete market 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...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2005
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