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Latest revision as of 04:38, 7 July 2024

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Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
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    Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets (English)
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    9 January 2014
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    benchmark and mean-variance criteria
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    Lévy processes
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    Hamilton-Jacobi-Bellman equation
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    exogenous cash flow
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    duality theory
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