Optimal consumption-portfolio problem with CVaR constraints (Q2410442): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal consumption-portfolio problem with CVaR constraints |
scientific article |
Statements
Optimal consumption-portfolio problem with CVaR constraints (English)
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18 October 2017
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dynamic portfolio selection
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conditional value at risk
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Hamilton-Jacobi-Bellman equation
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logarithmic utility function
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