A dynamic programming approach to path-dependent constrained portfolios
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-022-04640-4.pdf
Reference23 articles.
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3. Basak, S., & Shapiro, A. (2001). Value-at-risk-based risk management: Optimal policies and asset prices. Review of Financial Studies, 14(2), 371–405.
4. Bertrand, Philippe. (2001). and Jean-Luc Prigent. Portfolio insurance strategies: OBPI versus CPPI.
5. Björk, T., Khapko, M., & Murgoci, A. (2017). On time-inconsistent stochastic control in continuous time. Finance and Stochastics, 21(2), 331–360.
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