Recursive utility optimization with concave coefficients

DOI10.3934/mcrf.2018033zbMath1426.91249arXiv1607.00721OpenAlexW2964166852MaRDI QIDQ2001553

Shaolin Ji, Xiao-Min Shi

Publication date: 3 July 2019

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.00721

zbMATH Keywords

nonlinear equationsaddle pointconvex dualitynonsmooth coefficientrecursive utility optimization

Mathematics Subject Classification ID

Utility theory (91B16) Duality theory (optimization) (49N15) Portfolio theory (91G10)

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