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~subject:"Portfolio selection"
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Portfolio selection
Impulse control
41
Control theory
18
Kontrolltheorie
18
Stochastic process
18
Stochastischer Prozess
18
impulse control
17
Theorie
13
Theory
13
Transaction costs
13
Stochastic impulse control
10
Snell envelope
8
stochastic impulse control
8
Mathematical programming
7
Mathematische Optimierung
7
Quasi-variational inequalities
6
Transaktionskosten
6
Exchange rate policy
5
Inventory model
5
Lagerhaltungsmodell
5
Optimal stopping
5
Stochastic control
5
Wechselkurspolitik
5
Central bank
4
Dividend
4
Lagermanagement
4
Liquidity risk
4
Portfolio-Management
4
Singular control
4
Singular stochastic control
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Warehouse management
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Zentralbank
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optimal stopping
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transaction costs
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Brownian motion
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Coronavirus
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Baccarin, Stefano
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Barth, Andrea
1
Dang, Duy Minh
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Forsyth, Peter A.
1
Hainaut, Donatien
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Marazzina, Daniele
1
Mnif, Mohamed
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Moreno-Bromberg, Santiago
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Pham, Huyên
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Insurance / Mathematics & economics
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Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies
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European journal of operational research : EJOR
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Finance and Stochastics
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ECONIS (ZBW)
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1
Time-consistent mean-variance portfolio optimization : a numerical
impulse
control
approach
Staden, Pieter M. van
;
Dang, Duy Minh
;
Forsyth, Peter A.
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011944090
Saved in:
2
Optimal
impulse
control
of a portfolio with a fixed transaction cost
Baccarin, Stefano
;
Marazzina, Daniele
- In:
Central European journal of operations research : CEJOR …
22
(
2014
)
2
,
pp. 355-372
Persistent link: https://www.econbiz.de/10010356907
Saved in:
3
Optimal risk and liquidity management with costly refinancing opportunities
Barth, Andrea
;
Moreno-Bromberg, Santiago
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 31-45
Persistent link: https://www.econbiz.de/10010402740
Saved in:
4
Impulse
control
of pension fund contributions, in a regime switching economy
Hainaut, Donatien
- In:
European journal of operational research : EJOR
239
(
2014
)
3
,
pp. 810-819
Persistent link: https://www.econbiz.de/10010411480
Saved in:
5
A model of optimal portfolio selection under liquidity risk and price impact
Vath, Vathana Ly
;
Mnif, Mohamed
;
Pham, Huyên
- In:
Finance and Stochastics
11
(
2007
)
1
,
pp. 51-90
Persistent link: https://www.econbiz.de/10005613453
Saved in:
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