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- W1966115821 abstract "A portfolio selection model is derived for diffusions where inequality constraints are imposed on portfolio security weights. Using the method of stochastic dynamic programming Hamilton–Jacobi–Bellman (HJB) equations are obtained for the problem of maximizing the expected utility of terminal wealth over a finite time horizon. Optimal portfolio weights are given in feedback form in terms of the solution of the HJB equations and its partial derivatives. An analysis of the no‐constraining (NC) region of a portfolio is also conducted." @default.
- W1966115821 created "2016-06-24" @default.
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- W1966115821 date "2006-12-01" @default.
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- W1966115821 title "Optimum Constrained Portfolio Rules in a Diffusion Market" @default.
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- W1966115821 doi "https://doi.org/10.1080/13504860600840061" @default.
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