Optimal investments for the standard maximization problem with non-concave utility function in complete market model
Year of publication: |
2022
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Authors: | Bahchedjioglou, Olena ; Shevchenko, Georgiy |
Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 95.2022, 1, p. 163-181
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Subject: | Constrained optimization | Non-concave utility | Non-convex optimization | Optimal investment | Standard maximization problem | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Nutzenfunktion | Utility function | Dynamische Optimierung | Dynamic programming |
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