Symmetry-based solution of a model for a combination of a risky investment and a riskless investment (Q2371853)

The authors take the model proposed by \textit{F. E. Benth} and \textit{K. H. Karlsen} [Stoch. Anal. Appl. 23, No. 4, 687--704 (2005; Zbl 1074.60068)] for the optimization of a portfolio. The risky asset in this model follows the Schwartz mean-reverting dynamics. It gives rise to a highly nonlinear evolution PDE in 3 variables, and subjects it to a symmetry analysis in the tradition of Lie theory. They provide a solution to the problem based on the application of the Lie theory of continuous groups.