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