A Stochastic Control Approach to Risk Management Under Restricted Information
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Publication:2707150
DOI10.1111/1467-9965.00094zbMath1034.91045OpenAlexW2076652525MaRDI QIDQ2707150
Anna Zaccaria, Wolfgang J. Runggaldier
Publication date: 29 March 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00094
dynamic programmingrisk managementtransactions costsshortfall risk minimizationrestricted information
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