Publication:2771118
From MaRDI portal
zbMath1012.91022MaRDI QIDQ2771118
Ioannis Karatzas, Xiaoliang Zhao
Publication date: 17 June 2003
dynamic programming; Brownian motion; stochastic control; portfolio optimization; convex constraints
91B70: Stochastic models in economics
91B82: Statistical methods; economic indices and measures
91G10: Portfolio theory
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