Optimal control for utility portfolio selection with liability (Q4926616)
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scientific article; zbMATH DE number 6178856
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal control for utility portfolio selection with liability |
scientific article; zbMATH DE number 6178856 |
Statements
20 June 2013
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liability process
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dynamic portfolio selection
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dynamic programming principle
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Legendre transform
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numerical examples
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0.8617541790008545
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0.8421804904937744
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0.8236660361289978
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0.8207139372825623
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