Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution

DOI10.1007/S007800000032zbMath1049.91059OpenAlexW2022110236MaRDI QIDQ5957680

Kenneth Hvistendahl Karlsen, Kristin Reikvam, Fred Espen Benth

Publication date: 13 March 2002

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1956/19537

zbMATH Keywords

viscosity solution closed form solution integro-differential variational inequality portfolio choice dynamic programming method intertemporal substitution singular stochastic control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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