Portfolio optimization under convex incentive schemes
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Publication:2255013
DOI10.1007/s00780-014-0236-9zbMath1360.91132arXiv1109.2945OpenAlexW2952196743MaRDI QIDQ2255013
Publication date: 6 February 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.2945
dual problemstochastic optimizationMalliavin calculusnonconvex optimizationportfolio optimizationprincipal-agent problemincentive scheme
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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