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Mean–Variance Efficiency, Aggregate Shocks and Return Horizons

✍ Scribed by Patricia Fraser; Nicolaas Groenewold


Book ID
108550207
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
230 KB
Volume
69
Category
Article
ISSN
1463-6786

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📜 SIMILAR VOLUMES


Mean–variance efficiency with extended C
✍ René Ferland; François Watier 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 163 KB

## Abstract We study a mean–variance investment problem in a continuous‐time framework where the interest rates follow Cox–Ingersoll–Ross dynamics. We construct a mean–variance efficient portfolio through the solutions of backward stochastic differential equations. We also give sufficient condition