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The mean-variance investment problem in a constrained financial market

  • Sun, Wan Gui
  • Wang, Chun Feng
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    File URL: http://www.sciencedirect.com/science/article/B6VBY-4KDBM8S-1/2/e55c5cf112c995de9a03c6608b5765b5
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    Article provided by Elsevier in its journal Journal of Mathematical Economics.

    Volume (Year): 42 (2006)
    Issue (Month): 7-8 (November)
    Pages: 885-895

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    Handle: RePEc:eee:mateco:v:42:y:2006:i:7-8:p:885-895
    Contact details of provider: Web page: http://www.elsevier.com/locate/jmateco

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    1. Nguyen, Pascal & Portait, Roland, 2002. "Dynamic asset allocation with mean variance preferences and a solvency constraint," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 11-32, January.
    2. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
    3. Schweizer, Martin, 2001. "From actuarial to financial valuation principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 31-47, February.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    5. Leonard MacLean & Yonggan Zhao & William Ziemba, 2011. "Mean-variance versus expected utility in dynamic investment analysis," Computational Management Science, Springer, vol. 8(1), pages 3-22, April.
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