Dynamic optimal portfolio with maximum absolute deviation model
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Publication:454257
DOI10.1007/s10898-012-9887-2zbMath1250.91096OpenAlexW2151950358MaRDI QIDQ454257
Publication date: 1 October 2012
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-012-9887-2
Dynamic programming in optimal control and differential games (49L20) Linear programming (90C05) Dynamic programming (90C39) Financial applications of other theories (91G80) Portfolio theory (91G10)
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