Portfolio optimization with uncertain exit time in infinite-time horizon (Q2439241)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization with uncertain exit time in infinite-time horizon |
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Portfolio optimization with uncertain exit time in infinite-time horizon (English)
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14 March 2014
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infinite-time horizon
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mean-variance formulation
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stochastic optimal control
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dynamic programming algorithm
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optimal investment policy
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efficient frontier
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exit time
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