On dynamic deviation measures and continuous-time portfolio optimization
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Publication:1704138
DOI10.1214/17-AAP1282zbMath1382.60089arXiv1604.08037OpenAlexW2962770003MaRDI QIDQ1704138
Mitja Stadje, Martijn R. Pistorius
Publication date: 8 March 2018
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1604.08037
Statistical methods; risk measures (91G70) Noncooperative games (91A10) Optimality conditions and duality in mathematical programming (90C46) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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