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No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach.
Romain Blanchard
Laurence Carassus
Miklós Rásonyi
Published in:
Math. Methods Oper. Res. (2018)
Keyphrases
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piecewise linear
similarity measure
theoretical analysis
portfolio management
information systems
decision making
objective function
dynamic programming
data mining
distance measure
utility function
database
decision problems
closed form
convexity properties