Power utility maximization in constrained exponential Lévy models (Q4919616)
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scientific article; zbMATH DE number 6163072
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| default for all languages | No label defined |
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| English | Power utility maximization in constrained exponential Lévy models |
scientific article; zbMATH DE number 6163072 |
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POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS (English)
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14 May 2013
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power utility
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Lévy process
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constraints
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dynamic programming
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0.8681246638298035
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0.8654886484146118
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0.8593888878822327
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0.8411742448806763
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