An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs (Q3581020): Difference between revisions
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scientific article
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English | An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs |
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An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs (English)
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16 August 2010
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Dynamic optimization
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strategic asset allocation
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multistage decision problems
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risk control
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convex optimization
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portfolio optimization
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transaction costs
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affinely parameterized control function.
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0.82971656
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0.78558064
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0.7811155
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0.7797536
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0.77784956
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0.77683073
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0.7703187
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0.76487195
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