An efficient numerical method for the robust optimal investment problem with general utility functions
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Publication:2691508
DOI10.3934/JIMO.2022212OpenAlexW4312800110MaRDI QIDQ2691508FDOQ2691508
Authors: Yanyan Li 
Publication date: 29 March 2023
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2022212
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Cited In (4)
- Limit equations of adaptive Erlangization and their application to environmental management
- Optimization of investment returns with \(N\)-step utility functions
- Stability and accuracy of RBF direct method for solving a dynamic investment model
- A spectral method for an optimal investment problem with transaction costs under potential utility
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