An explicit solution for optimal investment problems with autoregressive prices and exponential utility (Q2787101)

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An explicit solution for optimal investment problems with autoregressive prices and exponential utility
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    An explicit solution for optimal investment problems with autoregressive prices and exponential utility (English)
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    24 February 2016
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    expected utility maximization
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    Gaussian autoregressive process
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    memory of a stochastic process
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