Portfolio optimization with a prescribed terminal wealth distribution
Ivan Guo, Nicolas Langrené, Grégoire Loeper and Wei Ning
| Year of publication: |
2022
|
|---|---|
| Authors: | Guo, Ivan ; Langrené, Nicolas ; Loeper, Grégoire ; Ning, Wei |
| Subject: | Fokker-Planck | HJB | Optimal mass transport | Portfolio allocation | Wealth distribution target | Portfolio-Management | Portfolio selection | Vermögensverteilung | Wealth distribution | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1967432 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013167753