An efficient numerical method for the robust optimal investment problem with general utility functions

DOI10.3934/JIMO.2022212MaRDI QIDQ2691508zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

finite difference methodHJB equationrobust investment strategygeneral utility function

Mathematics Subject Classification ID

Differential geometry of symmetric spaces (53C35)

Recommendations

• Numerical Methods for an Optimal Investment-Consumption Model
• Optimal selection portfolio problem: a semi-linear PDE approach
• Robust optimal control for derivative-based investment under the Heston model
• Optimal investment strategies for general utilities under dynamic elasticity of variance models
• Robust optimal investment problem with delay under Heston's model

Cites work

• scientific article; zbMATH DE number 4205918 (Why is no real title available?)
• scientific article; zbMATH DE number 53999 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 1069620 (Why is no real title available?)
• A probabilistic numerical method for fully nonlinear parabolic PDEs
• A strong comparison result for the bellman equation arising in stochastic exit time control problems and its applications
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• Controlled Markov processes and viscosity solutions
• Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
• Numerical Methods for Stochastic Control Problems in Continuous Time
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
• Optimal investment strategies for general utilities under dynamic elasticity of variance models
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio optimization and stochastic volatility asymptotics
• Risk, ambiguity and the Savage axioms
• Robust consumption and portfolio choice for time varying investment opportunities
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• Some Convergence Results for Howard's Algorithm
• The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients

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

This page was built for publication: An efficient numerical method for the robust optimal investment problem with general utility functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2691508)