Continuous-time mean-variance efficiency: the 80% rule
نویسندگان
چکیده
منابع مشابه
Continuous - Time Mean - Variance Efficiency : the 80 % Rule
This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return. The optimal portfolio of such a problem is called mean-variance efficient à la Markowitz. It is shown that, when the market coefficients are deterministic functions of time, a mean-variance efficient portfolio reali...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2006
ISSN: 1050-5164
DOI: 10.1214/105051606000000349