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Optimal Portfolio Control with Unknown Horizon
University of the West Indies, St. Augustine, Trinidad-and-Tobago
- 1 University of the West Indies, St. Augustine, Trinidad-and-Tobago
Journal of Mathematical Finance·Volume 02 (2012)·Pages 41–42·Published 28 February 2012·DOI10.4236/jmf.2012.21005
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Abstract
In this paper, we relax the assumption of a known time horizon in optimal control models.
KeywordsPortfolioInvestmentRandom HorizonStochastic
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