Optimal mean-variance portfolio selection
Work
Year: 2016
Type: article
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 price follows a geometric Brownian motion with dr... more
Authors Jesper Lund Pedersen, Goran Peškir
Institutions University of Copenhagen, University of Manchester
Cites: 30
Cited by: 79
Related to: 10
FWCI: 9.137
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $2,990
Funder University of Manchester