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Cone-constrained continuous-time Markowitz problems
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67 cited
  • 2003Backward Stochastic PDE and Imperfect Hedging55 cited
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    • 2017Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR36 cited
    • 2022Constrained stochastic LQ control with regime switching and application to portfolio selection21 cited