FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1992136278> ?p ?o ?g. }

• W1992136278 endingPage "953" @default.
• W1992136278 startingPage "943" @default.
• W1992136278 abstract "In this paper we formulate a continuous-time mean–variance portfolio selection model with multiple risky assets and one liability in an incomplete market. The risky assets’ prices are governed by geometric Brownian motions while the liability evolves according to a Brownian motion with drift. The correlations between the risky assets and the liability are considered. The objective is to maximize the expected terminal wealth while minimizing the variance of the terminal wealth. We derive explicitly the optimal dynamic strategy and the mean–variance efficient frontier in closed forms by using the general stochastic linear-quadratic (LQ) control technique. Several special cases are discussed and a numerical example is also given." @default.
• W1992136278 created "2016-06-24" @default.
• W1992136278 creator A5027224656 @default.
• W1992136278 creator A5060191097 @default.
• W1992136278 creator A5078558986 @default.
• W1992136278 date "2008-06-01" @default.
• W1992136278 modified "2023-09-30" @default.
• W1992136278 title "Continuous-time portfolio selection with liability: Mean–variance model and stochastic LQ approach" @default.
• W1992136278 cites W1809807636 @default.
• W1992136278 cites W1988936876 @default.
• W1992136278 cites W2002788332 @default.
• W1992136278 cites W2005158847 @default.
• W1992136278 cites W2012759387 @default.
• W1992136278 cites W2038495840 @default.
• W1992136278 cites W2048207845 @default.
• W1992136278 cites W2132621139 @default.
• W1992136278 cites W2161903344 @default.
• W1992136278 cites W2170245236 @default.
• W1992136278 cites W2170707681 @default.
• W1992136278 cites W3121342156 @default.
• W1992136278 cites W3124574885 @default.
• W1992136278 cites W4236670843 @default.
• W1992136278 doi "https://doi.org/10.1016/j.insmatheco.2007.10.014" @default.
• W1992136278 hasPublicationYear "2008" @default.
• W1992136278 type Work @default.
• W1992136278 sameAs 1992136278 @default.
• W1992136278 citedByCount "69" @default.
• W1992136278 countsByYear W19921362782013 @default.
• W1992136278 countsByYear W19921362782014 @default.
• W1992136278 countsByYear W19921362782015 @default.
• W1992136278 countsByYear W19921362782016 @default.
• W1992136278 countsByYear W19921362782017 @default.
• W1992136278 countsByYear W19921362782018 @default.
• W1992136278 countsByYear W19921362782019 @default.
• W1992136278 countsByYear W19921362782020 @default.
• W1992136278 countsByYear W19921362782021 @default.
• W1992136278 countsByYear W19921362782022 @default.
• W1992136278 countsByYear W19921362782023 @default.
• W1992136278 crossrefType "journal-article" @default.
• W1992136278 hasAuthorship W1992136278A5027224656 @default.
• W1992136278 hasAuthorship W1992136278A5060191097 @default.
• W1992136278 hasAuthorship W1992136278A5078558986 @default.
• W1992136278 hasConcept C10138342 @default.
• W1992136278 hasConcept C101615488 @default.
• W1992136278 hasConcept C105795698 @default.
• W1992136278 hasConcept C112401455 @default.
• W1992136278 hasConcept C121955636 @default.
• W1992136278 hasConcept C126255220 @default.
• W1992136278 hasConcept C129844170 @default.
• W1992136278 hasConcept C136264566 @default.
• W1992136278 hasConcept C149782125 @default.
• W1992136278 hasConcept C154945302 @default.
• W1992136278 hasConcept C162324750 @default.
• W1992136278 hasConcept C170131372 @default.
• W1992136278 hasConcept C196083921 @default.
• W1992136278 hasConcept C2524010 @default.
• W1992136278 hasConcept C2777834853 @default.
• W1992136278 hasConcept C2779664074 @default.
• W1992136278 hasConcept C2780378061 @default.
• W1992136278 hasConcept C2780821815 @default.
• W1992136278 hasConcept C33923547 @default.
• W1992136278 hasConcept C41008148 @default.
• W1992136278 hasConcept C51485801 @default.
• W1992136278 hasConcept C68710425 @default.
• W1992136278 hasConcept C76155785 @default.
• W1992136278 hasConcept C81917197 @default.
• W1992136278 hasConcept C91575142 @default.
• W1992136278 hasConceptScore W1992136278C10138342 @default.
• W1992136278 hasConceptScore W1992136278C101615488 @default.
• W1992136278 hasConceptScore W1992136278C105795698 @default.
• W1992136278 hasConceptScore W1992136278C112401455 @default.
• W1992136278 hasConceptScore W1992136278C121955636 @default.
• W1992136278 hasConceptScore W1992136278C126255220 @default.
• W1992136278 hasConceptScore W1992136278C129844170 @default.
• W1992136278 hasConceptScore W1992136278C136264566 @default.
• W1992136278 hasConceptScore W1992136278C149782125 @default.
• W1992136278 hasConceptScore W1992136278C154945302 @default.
• W1992136278 hasConceptScore W1992136278C162324750 @default.
• W1992136278 hasConceptScore W1992136278C170131372 @default.
• W1992136278 hasConceptScore W1992136278C196083921 @default.
• W1992136278 hasConceptScore W1992136278C2524010 @default.
• W1992136278 hasConceptScore W1992136278C2777834853 @default.
• W1992136278 hasConceptScore W1992136278C2779664074 @default.
• W1992136278 hasConceptScore W1992136278C2780378061 @default.
• W1992136278 hasConceptScore W1992136278C2780821815 @default.
• W1992136278 hasConceptScore W1992136278C33923547 @default.
• W1992136278 hasConceptScore W1992136278C41008148 @default.
• W1992136278 hasConceptScore W1992136278C51485801 @default.
• W1992136278 hasConceptScore W1992136278C68710425 @default.
• W1992136278 hasConceptScore W1992136278C76155785 @default.
• W1992136278 hasConceptScore W1992136278C81917197 @default.
• W1992136278 hasConceptScore W1992136278C91575142 @default.
• W1992136278 hasIssue "3" @default.
• W1992136278 hasLocation W19921362781 @default.
• W1992136278 hasOpenAccess W1992136278 @default.
• W1992136278 hasPrimaryLocation W19921362781 @default.
• W1992136278 hasRelatedWork W1954718630 @default.
• W1992136278 hasRelatedWork W2013095020 @default.

• next