Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
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Publication:2926486
DOI10.1080/02331934.2012.665054zbMath1297.93184arXiv1102.2263OpenAlexW1964296435MaRDI QIDQ2926486
Stanley R. Pliska, Isabel Duarte, Alberto A. Pinto, Diogo Pinheiro
Publication date: 24 October 2014
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1102.2263
Dynamic programming (90C39) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
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