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  • Search: subject:"mean-variance utility function"
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Year of publication
Subject
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Jump-diffusion dynamics 2 Monte Carlo 2 Stochastic control problem 2 Thin stocks 2 Börsenkurs 1 Control theory 1 Estimation theory 1 Kontrolltheorie 1 Markowitz' model 1 Markowitz’ model 1 Mathematical programming 1 Mathematische Optimierung 1 Mean-variance utility function 1 Mean–variance utility function 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Nutzenfunktion 1 Portfolio selection 1 Portfolio-Management 1 Schätztheorie 1 Share price 1 Stochastic process 1 Stochastischer Prozess 1 Utility function 1 mean-variance utility function 1 production function 1 risk aversion 1
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Online availability
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Undetermined 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 2 English 1
Author
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Castellano, Rosella 2 Cerqueti, Roy 2 Engler, Alejandra 1 Toledo, Roger 1
Institution
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Departamento de Economía, Facultad de Ciencias Económicas y Administrativas 1
Published in...
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European Journal of Operational Research 1 European journal of operational research : EJOR 1 Working Papers / Departamento de Economía, Facultad de Ciencias Económicas y Administrativas 1
Source
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Mean–Variance portfolio selection in presence of infrequently traded stocks
Castellano, Rosella; Cerqueti, Roy - In: European Journal of Operational Research 234 (2014) 2, pp. 442-449
This paper deals with a mean–variance optimal portfolio selection problem in presence of risky assets characterized by low-frequency trading and, therefore, low liquidity. To model the dynamics of illiquid assets, we introduce pure-jump processes. This leads to the development of a portfolio...
Persistent link: https://www.econbiz.de/10010730170
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Cover Image
Mean-variance portfolio selection in presence of infrequently traded stocks
Castellano, Rosella; Cerqueti, Roy - In: European journal of operational research : EJOR 234 (2014) 2, pp. 442-449
Persistent link: https://www.econbiz.de/10010356733
Saved in:
Cover Image
RISK PREFERENCES ESTIMATION FOR SMALL RASPBERRY PRODUCERS IN THE BÍO-BÍO REGION, CHILE
Toledo, Roger; Engler, Alejandra - Departamento de Economía, Facultad de Ciencias … - 2007
Persistent link: https://www.econbiz.de/10008628210
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