Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models.
DOI10.1016/j.amc.2021.126836OpenAlexW4200238892MaRDI QIDQ2073105
Yichen Zhu, Marcos Escobar Anel
Publication date: 27 January 2022
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2021.126836
dynamic programmingportfolio optimizationexpected utility4/2 stochastic volatilityquadratic-affine processes
Applications of optimal control and differential games (49N90) Stochastic processes (60G99) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Discrete approximations in optimal control (49M25) Portfolio theory (91G10)
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