POLYNOMIAL UTILITY
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Publication:6119777
DOI10.1142/s0219024923500243OpenAlexW4389204356MaRDI QIDQ6119777
Mogens Steffensen, Alexander Sevel Lollike
Publication date: 20 February 2024
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024923500243
Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Portfolio theory (91G10)
Cites Work
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- MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
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