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Optimal mean–variance selling strategies
Jesper Lund Pedersen
, Goran Peskir
Department of Mathematical Sciences
17
Citations (Scopus)
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Dive into the research topics of 'Optimal mean–variance selling strategies'. Together they form a unique fingerprint.
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Business & Economics
Stopping Time
100%
Mean-variance
74%
Free Boundary
53%
Optimal Stopping Problem
50%
Optimal Stopping
48%
Lagrange multipliers
45%
Geometric Brownian Motion
43%
Martingale
42%
Lower Bounds
35%
Stock Prices
28%
Mathematics
Strategy
76%
Nonlinear Problem
23%
Optimal Stopping Time
12%
Brownian Motion with Drift
12%
Stock Prices
12%
Geometric Brownian Motion
12%
Optimal Stopping Problem
11%
Stopping Time
10%
Volatility
10%
Lagrange multipliers
9%
Free Boundary
8%
Supremum
8%
Martingale
8%
Probability Measure
7%
Lower bound
5%
Formulation
5%
Denote
5%
Family
4%