Optimal mean-variance portfolio selection

Pedersen, JL; Peskir, G

Peskir, G (reprint author), Univ Manchester, Sch Math, Oxford Rd, Manchester M13 9PL, Lancs, England.

MATHEMATICS AND FINANCIAL ECONOMICS, 2017; 11 (2): 137

Abstract

Assuming that the wealth process X-u is generated self-financially from the given initial wealth by holding its fraction u in a risky stock (whose pri......

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