Construction of discrete time shadow price (Q901244)

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Construction of discrete time shadow price
scientific article

    Statements

    title
    Construction of discrete time shadow price (English)
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    author
    Tomasz Rogala
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    Łukasz Stettner
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    publication date
    23 December 2015
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    zbMATH Keywords
    Bellman equations
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    transaction costs
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    portfolio optimization
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    shadow price
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    utility maximization
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    Identifiers

    zbMATH DE Number
    6524097
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