Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (Q846513)
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scientific article; zbMATH DE number 5668142
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| English | Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation |
scientific article; zbMATH DE number 5668142 |
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Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (English)
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9 February 2010
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optimal control
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mean variance tradeoff
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HJB equation
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viscosity solution
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0.8573102951049805
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0.8452794551849365
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0.8376833200454712
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0.8263470530509949
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