Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading (Q1688725)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading |
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Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading (English)
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11 January 2018
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consumption-investment problem
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stochastic optimal control
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dynamic risk measure
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Markov decision problem
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discrete-time approximation
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