Near-optimal asset allocation in financial markets with trading constraints
Thijs Kamma, Antoon Pelsser
| Year of publication: |
2022
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|---|---|
| Authors: | Kamma, Thijs ; Pelsser, Antoon André Jean |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 297.2022, 2 (1.3.), p. 766-781
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| Subject: | Finance | Convex duality | Incomplete markets | Stochastic optimal control | Utility maximisation | Portfolio-Management | Portfolio selection | Unvollkommener Markt | Incomplete market | Finanzmarkt | Financial market | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Kontrolltheorie | Control theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2021.06.029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013259935