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Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent

Fuente: arXiv

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Bibliographic Details
Main Authors:	Liang, Gechun, Sun, Yifan, Zariphopoulou, Thaleia
Format:	Preprint
Published:	2023
Subjects:	Portfolio Management Probability 91G10, 91G80, 60H30
Online Access:	Acceder al recurso
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