Robust Portfolio Control with Stochastic Factor Dynamics (Q5166253)
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scientific article; zbMATH DE number 6308812
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust Portfolio Control with Stochastic Factor Dynamics |
scientific article; zbMATH DE number 6308812 |
Statements
Robust Portfolio Control with Stochastic Factor Dynamics (English)
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26 June 2014
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portfolio optimization
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robustness
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transaction costs
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relative entropy
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