On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints (Q5415096)

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scientific article; zbMATH DE number 6293578
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On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints
scientific article; zbMATH DE number 6293578

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    On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints (English)
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    9 May 2014
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    portfolio optimization
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    illiquid market
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    random trading time
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    drawdown constraint
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    limsup Markov decision process
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    Howard's policy improvement algorithm
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    Lévy process
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