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Dynamic programming
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Optimal life insurance purchase and consumption/investment under uncertain lifetime
Pliska, Stanley R.
;
Ye, Jinchun
- In:
Journal of banking & finance
31
(
2007
)
5
,
pp. 1307-1319
Persistent link: https://www.econbiz.de/10003461160
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Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Bielecki, Thomas
;
Hernández-Hernández, Daniel
; …
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 167-188
Persistent link: https://www.econbiz.de/10001428073
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Risk sensitive asset allocation
Bielecki, Tomasz R.
;
Pliska, Stanley R.
;
Sherris, Michael
- In:
Journal of economic dynamics & control
24
(
2000
)
8
,
pp. 1145-1177
Persistent link: https://www.econbiz.de/10001474593
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