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~source:"repec"
~subject:"Portfolio selection"
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Portfolio selection
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Yao, Haixiang
2
Chen, Ping
1
Chen, Shumin
1
Chiu, Chun Hung
1
Khanna, Ajay
1
Kulldorff, Martin
1
Li, Zhongfei
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RePEc
ECONIS (ZBW)
33
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1
Continuous-time
mean–variance portfolio selection with only risky assets
Yao, Haixiang
;
Li, Zhongfei
;
Chen, Shumin
- In:
Economic Modelling
36
(
2014
)
C
,
pp. 244-251
We investigate in this paper a
continuous-time
mean–variance portfolio selection problem in a general market setting …
Persistent link: https://www.econbiz.de/10010729860
Saved in:
2
Markowitz’s mean–variance defined contribution pension fund management under inflation: A
continuous-time
model
Yao, Haixiang
;
Yang, Zhou
;
Chen, Ping
- In:
Insurance: Mathematics and Economics
53
(
2013
)
3
,
pp. 851-863
In defined contribution (DC) pension schemes, the financial risk borne by the member occurs during the accumulation phase. To build up sufficient funds for retirement, scheme members invest their wealth in a portfolio of assets. This paper considers an optimal investment problem of a scheme...
Persistent link: https://www.econbiz.de/10010719103
Saved in:
3
The premium of dynamic trading
Chiu, Chun Hung
;
Zhou, Xun Yu
- In:
Quantitative Finance
11
(
2011
)
1
,
pp. 115-123
paper, it is shown that, in a
continuous-time
market where the risky prices are described by Ito processes and the …
Persistent link: https://www.econbiz.de/10009208312
Saved in:
4
A generalization of the mutual fund theorem
Kulldorff, Martin
;
Khanna, Ajay
- In:
Finance and Stochastics
3
(
1999
)
2
,
pp. 167-185
A generalization of the
continuous
time
mutual fund theorem is given, with no assumptions made on the investors utility …
Persistent link: https://www.econbiz.de/10005390666
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