A dynamic programming approach to path-dependent constrained portfolios (Q2159555)
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scientific article; zbMATH DE number 7565612
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|---|---|---|---|
| default for all languages | No label defined |
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| English | A dynamic programming approach to path-dependent constrained portfolios |
scientific article; zbMATH DE number 7565612 |
Statements
A dynamic programming approach to path-dependent constrained portfolios (English)
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1 August 2022
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expected utility theory
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constrained portfolio optimization
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path-dependent claims
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barrier derivatives
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0.8745808601379395
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0.8175557255744934
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0.8149645924568176
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0.8075178861618042
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