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Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets.

Jean-Pierre FouqueRuimeng HuRonnie Sircar
Published in: SIAM J. Financial Math. (2022)
Keyphrases
  • multiscale
  • portfolio optimization
  • expert systems
  • factor analysis
  • decision making
  • multi objective
  • risk management