Optimal consumption and investment problems under GARCH with transaction costs (Q1781142)
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scientific article; zbMATH DE number 2176409
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal consumption and investment problems under GARCH with transaction costs |
scientific article; zbMATH DE number 2176409 |
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Optimal consumption and investment problems under GARCH with transaction costs (English)
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16 June 2005
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consumption and investment problems
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stochastic programming
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decomposition
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augmented Lagrangian
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