An optimal investment model with Markov-driven volatilities (Q5245919)
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scientific article; zbMATH DE number 6426109
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optimal investment model with Markov-driven volatilities |
scientific article; zbMATH DE number 6426109 |
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An optimal investment model with Markov-driven volatilities (English)
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16 April 2015
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portfolio optimization
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stochastic control
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dynamic programming
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utility functions
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