Optimal portfolio strategies benchmarking the stock market
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Publication:857954
DOI10.1007/s00186-006-0091-3zbMath1132.90008MaRDI QIDQ857954
Publication date: 5 January 2007
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-006-0091-3
optimal strategy; stochastic optimal control; portfolio optimization; martingale method; shortfall risk constraints
90B60: Marketing, advertising
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