Continuous-time mean-variance portfolio selection with bankruptcy prohibition
A continuous-time mean-variance portfolio selection problem is studied where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to be below zero at any time. The trading strategy under consideration is defined in terms of the dollar amo...
| 主要な著者: | , , , |
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| フォーマット: | Journal article |
| 言語: | English |
| 出版事項: |
2005
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