Optimal consumption-portfolio problem with CVaR constraints
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Publication:2410442
DOI10.1016/j.chaos.2016.07.015zbMath1375.91220OpenAlexW2489119625MaRDI QIDQ2410442
Publication date: 18 October 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2016.07.015
Hamilton-Jacobi-Bellman equationconditional value at riskdynamic portfolio selectionlogarithmic utility function
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