On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution (Q2672147)
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scientific article; zbMATH DE number 7538192
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| English | On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution |
scientific article; zbMATH DE number 7538192 |
Statements
On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution (English)
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8 June 2022
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portfolio optimization
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Kelly criterion
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Merton's problem
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integer programming
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0.8763474
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0.86543196
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0.8590918
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0.85582817
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0.8521678
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0.8513358
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0.85107946
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