Continuous-time safety-first portfolio selection with jump-diffusion processes
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Publication:5497353
DOI10.1080/00207721.2010.517866zbMath1307.93469OpenAlexW2042480310MaRDI QIDQ5497353
Publication date: 4 February 2015
Published in: International Journal of Systems Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207721.2010.517866
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)
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