Robust Utility Maximization in Discrete-Time Markets with Friction
Metadata only
Date
2018Type
- Journal Article
Publication status
publishedExternal links
Journal / series
SIAM Journal on Control and OptimizationVolume
Pages / Article No.
Publisher
Society for Industrial and Applied Mathematics PublicationsSubject
robust optimization; utility maximization; financial markets with frictionFunding
172815 - Asymptotics and Model Uncertainty in Optimal Control (SNF)
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