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zbMATH Open1349.91253MaRDI QIDQ2945118

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Publication date: 9 September 2015

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zbMATH Keywords

stochastic dynamic programmingutility functionstress-testingpension portfolio simulations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming in optimal control and differential games (49L20) Brownian motion (60J65) Portfolio theory (91G10)

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