HARA frontiers of optimal portfolios in stochastic markets
From MaRDI portal
Publication:1926829
DOI10.1016/j.ejor.2011.10.012zbMath1253.91164MaRDI QIDQ1926829
Ethem Çanakoğlu, Süleyman Özekici
Publication date: 29 December 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2011.10.012
optimal control; dynamic programming; Markov processes; portfolio optimization; HARA utility functions; HARA frontiers
93E20: Optimal stochastic control
91G80: Financial applications of other theories
91G10: Portfolio theory
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