Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem (Q453370)
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scientific article; zbMATH DE number 6090915
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| English | Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem |
scientific article; zbMATH DE number 6090915 |
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Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem (English)
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5 October 2012
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optimal investment
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transaction costs
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double obstacle problem
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stochastic control
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exponential utility function
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0.9286213517189026
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0.8848722577095032
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0.8609058260917664
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0.8273828029632568
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0.8270295262336731
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