A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
Year of publication: |
2010
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Authors: | Andersson, Daniel ; Djehiche, Boualem |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 72.2010, 2, p. 273-310
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Subject: | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming |
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