An efficient numerical method for the robust optimal investment problem with general utility functions (Q2691508)
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scientific article; zbMATH DE number 7669006
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| English | An efficient numerical method for the robust optimal investment problem with general utility functions |
scientific article; zbMATH DE number 7669006 |
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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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0.7583692669868469
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0.7554180026054382
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0.7448050379753113
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0.7413201928138733
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0.7372041344642639
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