Portfolio optimization : not necessarily concave utility and constraints on wealth and allocation
Year of publication: |
2022
|
---|---|
Authors: | Escobar, Marcos ; Kschonnek, Michel ; Zagst, Rudi |
Subject: | Allocation constraints | Concavification | Dynamic portfolio optimization | HJB | Terminal wealth constraints | Utility maximization | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Nutzen | Utility | Nutzenfunktion | Utility function | Allokation | Allocation |
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