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Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
Cui, Xiangyu, Xu, Lu, Zeng, YanVolume:
10
Language:
english
Journal:
Optimization Letters
DOI:
10.1007/s11590-015-0970-8
Date:
December, 2016
File:
PDF, 409 KB
english, 2016