Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (Q2123124)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation |
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Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (English)
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8 April 2022
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dynamic portfolio optimization
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allocation constraints
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terminal wealth constraints
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utility maximization
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HJB
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concavification
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