Optimal portfolio strategies with a liability and random risk: the case of different lending and borrowing rates. (Q1880472)
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scientific article; zbMATH DE number 2103974
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| English | Optimal portfolio strategies with a liability and random risk: the case of different lending and borrowing rates. |
scientific article; zbMATH DE number 2103974 |
Statements
Optimal portfolio strategies with a liability and random risk: the case of different lending and borrowing rates. (English)
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28 September 2004
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optimal portfolio strategies
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different lending and borrowing rates
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bankruptcy
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stochastic control
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HJB equations
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probability approach
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0.8116104006767273
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0.7775817513465881
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0.7723416090011597
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