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Convex Duality in Portfolio Optimization under Constraints and with Higher Interest Rate for Borrowi
[期刊论文] 作者：Lei,Yaobin(雷耀斌),Wu,Rangquan(吴让,
来源：东华大学学报：英文版 年份：2001
We study the stochastic control problem of maximizing expected utility from terminal wealth and/or consumption, when the portfolio is constrained to take values...
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