An application of stochastic control theory to a bank portfolio choice problem (Q1747563)
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scientific article; zbMATH DE number 6866918
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An application of stochastic control theory to a bank portfolio choice problem |
scientific article; zbMATH DE number 6866918 |
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An application of stochastic control theory to a bank portfolio choice problem (English)
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8 May 2018
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optimal asset allocation
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stochastic optimal control
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dynamic programming principle
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CRRA utility
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