Abstract
Consider following classical problem in mathematical finance (see [16, 8, 4, 17, 3]).
The original version of this chapter was revised: The copyright line was incorrect. This has been corrected. The Erratum to this chapter is available at DOI: 10.1007/978-0-387-35359-3_40
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Keywords
- Portfolio Selection
- Contingent Claim
- Portfolio Selection Problem
- Terminal Wealth
- Stochastic Control Problem
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Stojanovic, S. (1999). Multivariate Constrained Portfolio Rules: Derivation of Monge-Ampère Equations. In: Chen, S., Li, X., Yong, J., Zhou, X.Y. (eds) Control of Distributed Parameter and Stochastic Systems. IFIP Advances in Information and Communication Technology, vol 13. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-35359-3_34
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DOI: https://doi.org/10.1007/978-0-387-35359-3_34
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