An approximate solution for optimal portfolio in incomplete markets
Year of publication: |
2008
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Authors: | Menoncin, Francesco |
Published in: |
Mathematical control theory and finance. - Berlin : Springer, ISBN 978-3-540-69531-8. - 2008, p. 293-310
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Subject: | Portfolio-Management | Portfolio selection | Unvollkommener Markt | Incomplete market | Erwartungsnutzen | Expected utility | Dynamische Optimierung | Dynamic programming | Stochastischer Prozess | Stochastic process | Risikoaversion | Risk aversion | Theorie | Theory |
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