Near-optimal asset allocation in financial markets with trading constraints
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Publication:2242286
DOI10.1016/j.ejor.2021.06.029zbMath1487.91119OpenAlexW3175417690MaRDI QIDQ2242286
Publication date: 9 November 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.06.029
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (3)
Health insurance, portfolio choice, and retirement incentives ⋮ On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging ⋮ Pandemic portfolio choice
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