Equity-linked notes portfolio optimization

DOI10.1007/978-3-030-38603-0_8MaRDI QIDQ1982889zbMATH OpenOpenAlexFDO

Authors Yulia Polozhishnikova, Lev F. Petrov

Publication date 14 September 2021

Full work available at URL https://doi.org/10.1007/978-3-030-38603-0_8

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsdynamic programming equationadmissible strategyequity-linked noterisk utility function

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

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