Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (Q2123124)
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scientific article; zbMATH DE number 7505273
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| English | Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation |
scientific article; zbMATH DE number 7505273 |
Statements
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (English)
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8 April 2022
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dynamic portfolio optimization
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allocation constraints
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terminal wealth constraints
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utility maximization
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HJB
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concavification
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0.8202952146530151
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0.8187380433082581
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0.8185410499572754
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0.817577600479126
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0.8068373203277588
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