Portfolio selection in stochastic markets with HARA utility functions
From MaRDI portal
Publication:1037679
DOI10.1016/j.ejor.2009.03.017zbMath1180.91252MaRDI QIDQ1037679
Süleyman Özekici, Ethem Çanakoğlu
Publication date: 16 November 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2009.03.017
dynamic programming; portfolio optimization; myopic policy; efficient frontier; HARA utility functions
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