Elasticity approach to portfolio optimization
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Publication:1423714
DOI10.1007/s001860300296zbMath1042.93060OpenAlexW3124961215MaRDI QIDQ1423714
Publication date: 7 March 2004
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860300296
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)
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