Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment
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Publication:5270335
DOI10.1137/16M1066762zbMath1365.93542arXiv1603.03538MaRDI QIDQ5270335
Jean-Pierre Fouque, Ruimeng Hu
Publication date: 23 June 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.03538
Optimal stochastic control (93E20) Asymptotic expansions of solutions to PDEs (35C20) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs in connection with control and optimization (35Q93)
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