Continuous-time Mean-Variance Portfolio Selection with Stochastic Parameters
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References listed on IDEAS
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model,"
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- R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Duan Li & Wan-Lung Ng, 2000. "Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 387-406.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Tomasz R. Bielecki & Hanqing Jin & Stanley R. Pliska & Xun Yu Zhou, 2005. "Continuous-Time Mean-Variance Portfolio Selection With Bankruptcy Prohibition," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 213-244.
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