Optimal investment in a market with borrowing and quadratic-affine interest rates.

Abdullah Aljalal Bujar Gashi

Published in: ECC (2022)

Keyphrases

investment strategies
decision making
dynamic programming
market data
objective function
affine transformation
optimal portfolio
profit maximizing
risk neutral
pareto optimal
image registration
optimal solution
risk aversion
portfolio management
optimal control
worst case
asset allocation