Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (Q846513): Difference between revisions

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Latest revision as of 10:29, 2 July 2024

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Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
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    Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (English)
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    9 February 2010
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    optimal control
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    mean variance tradeoff
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    HJB equation
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    viscosity solution
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