A state-constrained stochastic optimal control problem arising in portfolio liquidation
von Mourad Lazgham
| Alternative title: | Optimale Steuerung mit Zustandsbeschränkungen in der Portfolioliquidierung |
|---|---|
| Year of publication: |
2015
|
| Authors: | Lazgham, Mourad |
| Publisher: |
Mannheim |
| Subject: | Portfolio-Management | Portfolio selection | Erwartungsnutzen | Expected utility | Nutzenmaximierung | Utility maximization | Mathematische Optimierung | Mathematical programming | Kontrolle | Control | Differentialgleichung | Differential equation | Stochastische optimale Kontrolle |
freely available
Druckausg.::
Lazgham, Mourad *1981-*. A state-constrained stochastic optimal control problem arising in portfolio liquidation, 2015. - II, 131 S.
Druckausg.:
: : Lazgham, Mourad: A state-constrained stochastic optimal control problem arising in portfolio liquidation
Persistent link: https://www.econbiz.de/10011437748