Optimal investment strategies for general utilities under dynamic elasticity of variance models
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Publication:4554502
DOI10.1080/14697688.2017.1397284zbMath1400.91554OpenAlexW2794045737MaRDI QIDQ4554502
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1397284
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Control/observation systems governed by partial differential equations (93C20) Portfolio theory (91G10)
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