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Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints.
Sergey Nadtochiy
Thaleia Zariphopoulou
Published in:
SIAM J. Financial Math. (2019)
Keyphrases
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optimal solution
reducing the search space
venture capital
neural network
genetic algorithm
supply chain
worst case
electronic commerce
closed form
global constraints
optimal strategy
linear constraints
decision variables
stochastic dynamic programming
optimality criteria