Numerical method for optimal portfolio in an exponential utility regime-switching model (Q5030573)
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scientific article; zbMATH DE number 7475964
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| English | Numerical method for optimal portfolio in an exponential utility regime-switching model |
scientific article; zbMATH DE number 7475964 |
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Numerical method for optimal portfolio in an exponential utility regime-switching model (English)
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17 February 2022
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regime-switching model
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semi-linear parabolic equation
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exponential non-linearity
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van Leer flux-limiter
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negativity preserving
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convergence
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0.9041605
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0.9023907
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0.9015462
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0.89440215
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0.8931316
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0.8881248
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0.8872545
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