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Optimum Constrained Portfolio Rules in a Diffusion Market - MaRDI portal

Optimum Constrained Portfolio Rules in a Diffusion Market (Q3424319)

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Optimum Constrained Portfolio Rules in a Diffusion Market
scientific article

    Statements

    title
    Optimum Constrained Portfolio Rules in a Diffusion Market (English)
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    publication date
    15 February 2007
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    Mathematics Subject Classification ID
    91B28
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    49L20
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    93E20
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    zbMATH DE Number
    5127621
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    zbMATH Keywords
    utility
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    stochastic dynamic programming
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    Hamilton-Jacobi-Bellman equation
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    constraints
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    OpenAlex ID
    W1966115821
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