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1 Ergebnisse
1
Stochastic control methods applied to portfolio constructio..:
Lefebvre, William
NNT: 2022UNIP7099. , 2022
Link:
https://theses.hal.science/tel-04232758
RT Journal T1
Stochastic control methods applied to portfolio construction, control with delay and PDE solving ; Méthodes de contrôle stochastique appliquées à la construction de portefeuille, au contrôle avec retard et à la résolution d'EDPs
UL https://suche.suub.uni-bremen.de/peid=base-ftunivparis:oai:HAL:tel-04232758v1&Exemplar=1&LAN=DE A1 Lefebvre, William PB HAL CCSD YR 2022 K1 Continuous-Time mean-Variance problem K1 Robustified allocation K1 Parameter misspecification K1 Linear-Quadratic stochastic control K1 Riccati PDEs K1 Markowitz portfolio allocation K1 Fully nonlinear PDEs K1 Deep learning K1 Differential learning K1 Option pricing with market impact K1 Problème de portefeuille moyenne-Variance en temps continu K1 Allocation robuste K1 Paramètres mal spécifiés K1 Contrôle stochastique linéaire quadratique K1 EDP de Riccati K1 Portefeuille de Markowitz K1 EDP non linéaires K1 Apprentissage profond K1 Apprentissage différentiel K1 Valorisation d'option avec impact sur le marché K1 [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC] JF NNT: 2022UNIP7099 LK http://dx.doi.org/https://theses.hal.science/tel-04232758 DO https://theses.hal.science/tel-04232758 SF ELIB - SuUB Bremen
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