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Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices.

Michel VellekoopMarcellino Gaudenzi
Published in: SIAM J. Financial Math. (2022)
Keyphrases
  • investment strategies
  • optimal solution
  • dynamic programming
  • stock market
  • feature selection
  • evolutionary algorithm
  • expected profit
  • futures market
  • network revenue management