Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (Q2073105)
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scientific article; zbMATH DE number 7465280
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. |
scientific article; zbMATH DE number 7465280 |
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Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (English)
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27 January 2022
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dynamic programming
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quadratic-affine processes
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expected utility
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portfolio optimization
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4/2 stochastic volatility
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0.8594765
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0.8554114
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0.8484088
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0.83399326
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0.8337158
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0.8244734
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0.8242394
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