A computational scheme for the optimal strategy in an incomplete market
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Publication:1027435
DOI10.1016/j.jedc.2006.12.006zbMath1163.93400OpenAlexW3125755920MaRDI QIDQ1027435
Xu Meng, Jussi Keppo, Michael G. Sullivan
Publication date: 1 July 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2006.12.006
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
Related Items (2)
Near-optimal asset allocation in financial markets with trading constraints ⋮ Unemployment Risks and Optimal Retirement in an Incomplete Market
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