Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
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Publication:1966380
DOI10.1007/s007800050063zbMath1047.91025OpenAlexW3124522512MaRDI QIDQ1966380
Publication date: 1 March 2000
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050063
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)
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