Large-scale financial planning via a partially observable stochastic dual dynamic programming framework-Reference-Cited by-同舟云学术

Large-scale financial planning via a partially observable stochastic dual dynamic programming framework

Published:2023-07-20 Issue:9 Volume:23 Page:1341-1360
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Lee Jinkyu¹,Kwon Do-Gyun¹,Lee Yongjae²,Kim Jang Ho³,Kim Woo Chang¹

Affiliation:

1. Department of Industrial and Systems Engineering, Korea Advanced Institute of Science and Technology (KAIST), 291 Daehak-ro, Yuseong-gu, Daejeon 34141, Republic of Korea

2. Department of Industrial Engineering, Ulsan National Institute of Science and Technology (UNIST), 50 UNIST-gil, Ulju-gun, Ulsan 44919, Republic of Korea

3. Department of Industrial and Management Systems Engineering, College of Engineering, Kyung Hee University, Department of Big Data Analytics, Graduate School, Kyung Hee University, 1732 Deogyeong-daero, Giheung-gu, Yongin-si, Gyeonggi-do 17104, Republic of Korea

Funder

National Research Foundation of Korea

Ministry of Education

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2221296

Reference58 articles.

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3. Spot and derivative pricing in the EEX power market

4. The Pricing of Options and Corporate Liabilities

5. Labor supply flexibility and portfolio choice in a life cycle model

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