Optimal portfolios under a value-at-risk constraint with applications to inventory control in supply chains
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Publication:999231
DOI10.3934/JIMO.2008.4.81zbMath1155.91398OpenAlexW2066274278MaRDI QIDQ999231
Publication date: 3 February 2009
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2008.4.81
Dynamic programming in optimal control and differential games (49L20) Inventory, storage, reservoirs (90B05)
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