An application of stochastic control theory to a bank portfolio choice problem (Q1747563)
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scientific article; zbMATH DE number 6866918
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | An application of stochastic control theory to a bank portfolio choice problem |
scientific article; zbMATH DE number 6866918 |
Statements
An application of stochastic control theory to a bank portfolio choice problem (English)
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8 May 2018
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optimal asset allocation
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stochastic optimal control
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dynamic programming principle
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CRRA utility
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0.8036687970161438
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0.7877934575080872
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0.7877592444419861
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0.7873364686965942
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