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Volumn 117, Issue 8, 2007, Pages 980-1000

A control approach to robust utility maximization with logarithmic utility and time-consistent penalties

Author keywords

Convex risk measure; Dynamic consistency; Hamilton Jacobi Bellman equation; Robust utility maximization; Stochastic control; Stochastic factor model

Indexed keywords

ALGORITHMS; MARKETING; OPTIMIZATION; PARTIAL DIFFERENTIAL EQUATIONS; RISK ANALYSIS; ROBUST CONTROL;

EID: 34347391899     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2006.11.005     Document Type: Article
Times cited : (37)

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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.