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Turnpike behavior of long-term investments

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Publication:1297906
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DOI10.1007/s007800050050zbMath0924.90017OpenAlexW1982635124MaRDI QIDQ1297906

Chi-fu Huang, Thaleia Zarriphopoulou

Publication date: 14 September 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050050


zbMATH Keywords

dynamic programmingviscosity solutionsturnpike propertycontinuous-time model


Mathematics Subject Classification ID

Optimal stochastic control (93E20)


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Long-Term Optimal Investment in Matrix Valued Factor Models ⋮ Turnpike property and convergence rate for an investment model with general utility functions ⋮ STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS ⋮ Turnpike theorems for Markov games ⋮ Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model ⋮ On a PDE arising in one-dimensional stochastic control problems ⋮ Turnpike property and convergence rate for an investment and consumption model ⋮ Portfolios and risk premia for the long run ⋮ ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS ⋮ Abstract, classic, and explicit turnpikes ⋮ Investing for Retirement ⋮ The long-run behavior of consumption and wealth dynamics in complete financial market with heterogeneous investors



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