Quadratic minimization with portfolio and terminal wealth constraints (Q2351638): Difference between revisions

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Latest revision as of 09:09, 10 July 2024

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Quadratic minimization with portfolio and terminal wealth constraints
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    Quadratic minimization with portfolio and terminal wealth constraints (English)
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    26 June 2015
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    portfolio optimization
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    stochastic control
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    conjugate duality
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    constraints
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    Lagrange multiplier
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    Slater condition
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