A dynamic programming approach to path-dependent constrained portfolios
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Publication:2159555
DOI10.1007/s10479-022-04640-4zbMath1497.91276OpenAlexW4220865350MaRDI QIDQ2159555
Publication date: 1 August 2022
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-022-04640-4
Utility theory (91B16) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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Cites Work
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