Continuous-time optimal portfolio under a value-at-risk constraint (Q3501897)
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scientific article; zbMATH DE number 5284531
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| English | Continuous-time optimal portfolio under a value-at-risk constraint |
scientific article; zbMATH DE number 5284531 |
Statements
3 June 2008
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optimal portfolio
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value-at-risk
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dynamic programming
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continuous-time
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0.9553847908973694
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0.8439204692840576
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0.8410496711730957
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0.8393795490264893
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0.8386203646659851
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