Continuous-Time Markowitz’s Mean-Variance Model Under Different Borrowing and Saving Rates
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DOI: 10.1007/s10957-023-02259-4
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- Zongxia Liang & Jianming Xia & Keyu Zhang, 2023. "Equilibrium stochastic control with implicitly defined objective functions," Papers 2312.15173, arXiv.org, revised Dec 2023.
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Keywords
Markowitz’s mean-variance portfolio selection; Fully nonlinear PDE; Free boundary; Dual transformation; Different borrowing and saving rates;All these keywords.
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