Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (Q846513)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation |
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Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (English)
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9 February 2010
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optimal control
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mean variance tradeoff
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HJB equation
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viscosity solution
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