The optimal portfolio strategy under different utility functions (Q2823481)
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scientific article; zbMATH DE number 6634302
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| English | The optimal portfolio strategy under different utility functions |
scientific article; zbMATH DE number 6634302 |
Statements
6 October 2016
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stochastic differential game
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jump-diffusion process
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logarithmic utility function
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power utility function
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Itô formula
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optimal portfolio strategy
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The optimal portfolio strategy under different utility functions (English)
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0.7720493674278259
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0.7700426578521729
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0.7631837129592896
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0.7570697069168091
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0.7522037625312805
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