An asymptotic expansion scheme for optimal investment problems

DOI10.1023/B:SISP.0000026045.26381.1DMaRDI QIDQ701968zbMATH OpenOpenAlexFDO

Authors Akihiko Takahashi, Nakahiro Yoshida

Publication date 17 January 2005

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:sisp.0000026045.26381.1d

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

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