Anticipative portfolio optimization under constraints and a higher interest rate for borrowing
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Publication:4542189
DOI10.1081/SAP-120003437zbMath1012.91021OpenAlexW2085071536MaRDI QIDQ4542189
Publication date: 17 June 2003
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/sap-120003437
Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Portfolio theory (91G10)
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