An efficient numerical method for the robust optimal investment problem with general utility functions (Q2691508)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient numerical method for the robust optimal investment problem with general utility functions |
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An efficient numerical method for the robust optimal investment problem with general utility functions (English)
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29 March 2023
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robust investment strategy
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general utility function
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HJB equation
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finite difference method
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