Optimal portfolio on tracking the expected wealth process with liquidity constraints (Q655833)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio on tracking the expected wealth process with liquidity constraints |
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Optimal portfolio on tracking the expected wealth process with liquidity constraints (English)
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27 January 2012
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portfolio selection
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wealth tracking
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liquidity constraints
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HJB equation
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Lagrange multiplier
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