Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return (Q2925123)
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scientific article; zbMATH DE number 6359135
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return |
scientific article; zbMATH DE number 6359135 |
Statements
Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return (English)
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20 October 2014
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optimal leverage function
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constant proportion debt obligation (CPDOs)
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highly nonlinear Hamilton--Jacobi--Bellman equation
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