OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS (Q4372020)
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scientific article; zbMATH DE number 1106706
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| English | OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS |
scientific article; zbMATH DE number 1106706 |
Statements
OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS (English)
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21 January 1998
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optimal portfolio
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time-additive utility function
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martingale approach
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duality
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upper and lower bounds
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existence of dual optimal solutions
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0.8818769454956055
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0.8667203187942505
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0.85784912109375
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0.8414961099624634
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