Optimal investment with a value-at-risk constraint
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Publication:2450805
DOI10.3934/JIMO.2012.8.531zbMath1302.93245OpenAlexW2320342124MaRDI QIDQ2450805
Jingzhen Liu, Lihua Bai, Ka-Fai Cedric Yiu
Publication date: 16 May 2014
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2012.8.531
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
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