Robust utility maximization under convex portfolio constraints (Q2348619): Difference between revisions

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Latest revision as of 05:01, 10 July 2024

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Robust utility maximization under convex portfolio constraints
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    Robust utility maximization under convex portfolio constraints (English)
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    15 June 2015
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    utility maximization
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    backward stochastic differential equations
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    recursive utility
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    model uncertainty
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    robust control
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    maximum principle
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    forward-backward system
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