Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous time mean variance asset allocation
Year of publication: |
2010
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Authors: | Boucekkine, Raouf ; Laffargue, Jean-Pierre |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 7174093. - Vol. 34.2010, 2, p. 207-231
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