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~isPartOf:"Mathematics and Computers in Simulation (MATCOM)"
~subject:"Static mean–variance analysis"
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Static mean–variance analysis
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A two-asset stochastic model for long-term portfolio selection
Kung, James J.
- In:
Mathematics and Computers in Simulation (MATCOM)
79
(
2009
)
10
,
pp. 3089-3098
utility at time T. In our
continuous-time
model, we operate in a three-dimensional space—the first is the spot rate, the …
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