Robust generalized Merton-type financial portfolio models with generalized utility
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Publication:6148775
DOI10.1007/s10479-021-04051-xOpenAlexW3149133232MaRDI QIDQ6148775
Fouad Ben Abdelaziz, Davide La Torre
Publication date: 8 February 2024
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-021-04051-x
dynamic programmingmultiple criteria decision makingrobust optimizationset-valued utilityMerton's portfolio model
Mathematical programming (90Cxx) Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx)
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