Optimal Portfolio Control with Unknown Horizon

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DOI: 10.4236/jmf.2012.21005    3,914 Downloads   7,811 Views  Citations
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ABSTRACT

In this paper, we relax the assumption of a known time horizon in optimal control models.

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M. Alghalith, "Optimal Portfolio Control with Unknown Horizon," Journal of Mathematical Finance, Vol. 2 No. 1, 2012, pp. 41-42. doi: 10.4236/jmf.2012.21005.
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