Stochastic programming method for multiperiod consumption and investment problems with transactions costs (Q2571163): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic programming method for multiperiod consumption and investment problems with transactions costs |
scientific article |
Statements
Stochastic programming method for multiperiod consumption and investment problems with transactions costs (English)
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1 November 2005
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GARCH model
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branch-decomposition algorithm
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multiperiod optimal investment
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