On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability

Taras Bodnar, Nestor Parolya, Wolfgang Schmid. On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability. European Journal of Operational Research, 246(2):528-542, 2015. [doi]

Authors

Taras Bodnar

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Nestor Parolya

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Wolfgang Schmid

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