This is a preview. Log in through your library . Abstract A method is proposed for finding a closed form expression for the cumulative distribution function (CDF) of the maximum value of the objective ...
SIAM Journal on Applied Mathematics contains research articles on mathematical methods and their applications in the physical, engineering, financial, and life sciences. Publisher Information "The ...
We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to ...
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