Portfolio optimization in a default model under full/partial information (Q5358060)
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scientific article; zbMATH DE number 6776141
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Portfolio optimization in a default model under full/partial information |
scientific article; zbMATH DE number 6776141 |
Statements
PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION (English)
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19 September 2017
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portfolio optimization
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full/partial information
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logarithmic, power and exponential utility functions
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stochastic control
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0.8806053996086121
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0.8378445506095886
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0.8355721831321716
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0.8309951424598694
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0.8133767247200012
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