Optimal Investment with Time-Varying Stochastic Endowments
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Publication:5097224
DOI10.1137/21M1453402zbMath1498.91376arXiv1406.6245OpenAlexW3125828738MaRDI QIDQ5097224
Robert Stelzer, Christoph Belak, An Chen, Carla Mereu
Publication date: 22 August 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1406.6245
Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
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