Quadratic minimization with portfolio and terminal wealth constraints (Q2351638)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quadratic minimization with portfolio and terminal wealth constraints |
scientific article |
Statements
Quadratic minimization with portfolio and terminal wealth constraints (English)
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26 June 2015
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portfolio optimization
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stochastic control
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conjugate duality
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constraints
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Lagrange multiplier
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Slater condition
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