Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
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Publication:4346232
DOI10.1287/moor.22.2.468zbMath0883.90011OpenAlexW3123703843MaRDI QIDQ4346232
Publication date: 3 August 1997
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/fd7fc11b13119f0192b2ea341cfd3467b9db3325
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Portfolio theory (91G10)
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