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Continuous-time mean-variance portfolio selection problems
연속시간 평균분산 포트폴리오 선택문제

DC Field Value Language
dc.contributor.advisor최형인-
dc.contributor.author이상헌-
dc.date.accessioned2009-12-11T01:54:51Z-
dc.date.available2009-12-11T01:54:51Z-
dc.date.copyright2004.-
dc.date.issued2004-
dc.identifier.urihttp://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000053805eng
dc.identifier.urihttps://hdl.handle.net/10371/19866-
dc.descriptionThesis (doctoral)--서울대학교 대학원 :수리과학부,2004.en
dc.format.extentii, 55 leavesen
dc.language.isoen-
dc.publisher서울대학교 대학원en
dc.subject평균-분산 포트폴리오 선택en
dc.subjectMean-variance portfolioselectionen
dc.subject선형 이차 조절기en
dc.subjectLinear-quadratic regulatoren
dc.subject해밀턴-야코비-벨만 방정식en
dc.subjectHamilton-jacobi-bellmanequationen
dc.subject대역 최소 분산포트폴리오en
dc.subjectGlobally minimum variance portfolioen
dc.subject포트폴리오 경계en
dc.subjectPortfolio frontieren
dc.subject샤프 비율en
dc.subjectSharpe ratioen
dc.subject뮤추얼 펀드 정리en
dc.subjectMutual fund theoremen
dc.subject몬테-카를로 모의 실험.en
dc.subjectMonte-carlo simulation.en
dc.titleContinuous-time mean-variance portfolio selection problemsen
dc.title.alternative연속시간 평균분산 포트폴리오 선택문제en
dc.typeThesis-
dc.contributor.department수리과학부-
dc.description.degreeDoctoren
Appears in Collections:
College of Natural Sciences (자연과학대학)Dept. of Mathematical Sciences (수리과학부)Theses (Ph.D. / Sc.D._수리과학부)
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