Mean-variance portfolio selection under a constant elasticity of variance model
Yang Shen; Xin Zhang; Tak Kuen Siu
| Year of publication: |
2014
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|---|---|
| Authors: | Shen, Yang ; Zhang, Xin ; Siu, Tak Kuen |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 42.2014, 5, p. 337-342
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| Subject: | Mean-variance portfolio selection | Constant elasticity of variance model | Backward stochastic Riccati equation | Efficient frontier | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Varianzanalyse | Analysis of variance | Optionspreistheorie | Option pricing theory | Hedging | CAPM | Elastizität | Elasticity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010404397