Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle (Q3383684)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle |
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Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle (English)
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16 December 2021
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dynamic programming
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finance
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portfolio optimization
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Hamiltonian system
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heavy tailed distribution
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stochastic maximum principle
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