Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
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Publication:2427824
DOI10.1016/j.insmatheco.2011.10.013zbMath1235.91159OpenAlexW2017465488MaRDI QIDQ2427824
Publication date: 18 April 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.10.013
Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)
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