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A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging

Yoshida, N

Yoshida, N (reprint author), Chuo Univ, Dept Ind & Syst Engn, Bunkyo Ku, 1-13-27 Kasuga, Tokyo 1128551, Japan.

JSIAM LETTERS, 2019; 11 (): 25

Abstract

In this paper, an explicit solution to a continuous-time mean-variance portfolio selection problem in a continuous semimartingale model is provided th......

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