Convex duality in constrained portfolio optimization
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Publication:1203746
DOI10.1214/aoap/1177005576zbMath0770.90002OpenAlexW1991510170WikidataQ89210944 ScholiaQ89210944MaRDI QIDQ1203746
Ioannis Karatzas, Jakša Cvitanić
Publication date: 22 February 1993
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177005576
Utility theory (91B16) Economic growth models (91B62) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Duality theory (optimization) (49N15) Portfolio theory (91G10)
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