Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return (Q2925123)

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Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return
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    Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return (English)
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    20 October 2014
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    optimal leverage function
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    constant proportion debt obligation (CPDOs)
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    highly nonlinear Hamilton--Jacobi--Bellman equation
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