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1. Equilibrium Strategies for Time-Inconsistent Stochastic Optimal Control of Asset Allocation
Master-uppsats, KTH/Optimeringslära och systemteoriSammanfattning : We have examinined the problem of constructing efficient strategies for continuous-time dynamic asset allocation. In order to obtain efficient investment strategies; a stochastic optimal control approach was applied to find optimal transaction control. LÄS MER
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