An efficient numerical method for the robust optimal investment problem with general utility functions (Q2691508): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q4356582 / rank
 
Normal rank
Property / cites work
 
Property / cites work: CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY / rank
 
Normal rank
Property / cites work
 
Property / cites work: Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A strong comparison result for the bellman equation arising in stochastic exit time control problems and its applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3355178 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Convergence Results for Howard's Algorithm / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk, Ambiguity, and the Savage Axioms / rank
 
Normal rank
Property / cites work
 
Property / cites work: A probabilistic numerical method for fully nonlinear parabolic PDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Controlled Markov processes and viscosity solutions / rank
 
Normal rank
Property / cites work
 
Property / cites work: PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical Methods for Stochastic Control Problems in Continuous Time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4004190 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment strategies for general utilities under dynamic elasticity of variance models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust consumption and portfolio choice for time varying investment opportunities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimum consumption and portfolio rules in a continuous-time model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical convergence properties of option pricing PDEs with uncertain volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255599 / rank
 
Normal rank

Latest revision as of 20:09, 31 July 2024

scientific article
Language Label Description Also known as
English
An efficient numerical method for the robust optimal investment problem with general utility functions
scientific article

    Statements

    An efficient numerical method for the robust optimal investment problem with general utility functions (English)
    0 references
    0 references
    29 March 2023
    0 references
    robust investment strategy
    0 references
    general utility function
    0 references
    HJB equation
    0 references
    finite difference method
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references