The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility

Taras Bodnar, Nestor Parolya, Wolfgang Schmid. The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility. In Marco E. L├╝bbecke, Arie Koster, Peter Letmathe, Reinhard Madlener, Britta Peis, Grit Walther, editors, Operations Research Proceedings 2014, Selected Papers of the Annual International Conference of the German Operations Research Society (GOR), RWTH Aachen University, Germany, September 2-5, 2014. pages 45-51, Springer, 2014. [doi]

Abstract

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