Robust portfolio control with stochastic factor dynamics (Q5166253)
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scientific article; zbMATH DE number 6308812
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| default for all languages | No label defined |
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| 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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0.7870124578475952
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0.780970573425293
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0.7736070156097412
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0.7690169215202332
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