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Optimal mean-variance portfolio selection
Jesper Lund Pedersen
, Goran Peskir
Department of Mathematical Sciences
26
Citations (Scopus)
120
Downloads (Pure)
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Dive into the research topics of 'Optimal mean-variance portfolio selection'. Together they form a unique fingerprint.
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Mathematics
Portfolio Selection
100%
Nonlinear Problem
41%
Brownian Motion with Drift
34%
Dynamic Control
33%
Stock Prices
32%
Geometric Brownian Motion
32%
Interest Rates
30%
Hamilton-Jacobi
29%
Volatility
27%
Lagrange multipliers
25%
Supremum
24%
Probability Measure
21%
Optimal Control Problem
19%
Optimal Control
19%
Lower bound
16%
Formulation
15%
Denote
15%
Family
11%
Business & Economics
Mean-variance Portfolios
93%
Mean-variance
76%
Portfolio Selection
74%
Wealth
36%
Interest Rates
35%
Lagrange multipliers
31%
Bond Prices
30%
Optimal Control Problem
29%
Geometric Brownian Motion
29%
Lower Bounds
24%
Stock Prices
19%