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A dynamic programming approach to path-dependent constrained portfolios - MaRDI portal

A dynamic programming approach to path-dependent constrained portfolios (Q2159555)

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A dynamic programming approach to path-dependent constrained portfolios
scientific article

    Statements

    title
    A dynamic programming approach to path-dependent constrained portfolios (English)
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    publication date
    1 August 2022
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    zbMATH Keywords
    expected utility theory
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    constrained portfolio optimization
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    path-dependent claims
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    barrier derivatives
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G20
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    90C39
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    91B16
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    zbMATH DE Number
    7565612
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    OpenAlex ID
    W4220865350
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