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LANGRENÉ Nicolas
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2022
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Optimal mass transport
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Quantitative Finance
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Portfolio optimization with a prescribed terminal wealth distribution
Journal article
Quantitative Finance,2022, volume: 22, issue: 2, pages: 333-347
Authors:
Guo, Ivan
;
Langrené, Nicolas
;
Loeper, Grégoire
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Submit date：2022/08/29
Fokker–Planck
HJB
Optimal mass transport
Portfolio allocation
Wealth distribution target
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