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Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
Heunis, Andrew J.Volume:
53
Language:
english
Journal:
SIAM Journal on Control and Optimization
DOI:
10.1137/130951245
Date:
January, 2015
File:
PDF, 568 KB
english, 2015