Quadratic Hedging with Mixed State and Control Constraints
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Cites work
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- scientific article; zbMATH DE number 3504682 (Why is no real title available?)
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Necessary conditions for a weak extremum in optimal control problems with mixed constraints of the inequality type
- Optimal Control Problems with Mixed Control-Phase Variable Equality and Inequality Constraints
- Quadratic minimization with portfolio and intertemporal wealth constraints
- Quadratic minimization with portfolio and terminal wealth constraints
- Stochastic convex programming: Singular multipliers and extended duality, singular multipliers and duality
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