Comonotonic approximation to periodic investment problems under stochastic drift
Year of publication: |
1 October 2017
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Authors: | Xu, Liang ; Chunyan Gao ; Kou, Gang ; Liu, Qinjun |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 262.2017, 1 (1.10.), p. 251-261
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Subject: | Decision support system | Comonotonic approximation | Stochastic drift | Periodic investment problems | Dynamic control | Black-Scholes market | Theorie | Theory | Stochastischer Prozess | Stochastic process | Management-Informationssystem | Management information system | Investition | Investment |
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