Equity-linked notes portfolio optimization

DOI10.1007/978-3-030-38603-0_8zbMath1471.91512OpenAlexW3000038684MaRDI QIDQ1982889

Yulia Polozhishnikova, Lev F. Petrov

Publication date: 14 September 2021

Full work available at URL: https://doi.org/10.1007/978-3-030-38603-0_8

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsdynamic programming equationadmissible strategyequity-linked noterisk utility function

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

This page was built for publication: Equity-linked notes portfolio optimization