Optimal selection portfolio problem: a semi-linear PDE approach

DOI10.1080/17442508.2010.514916zbMATH Open1251.91057OpenAlexW2035817749MaRDI QIDQ4648583FDOQ4648583

Authors: Amina Zeghal, Mohamed Mnif 

Publication date: 9 November 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.514916

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• scientific article; zbMATH DE number 5283952

zbMATH Keywords

backward stochastic differential equationstochastic volatilityoptimal portfoliosmooth solutionsemi-linear partial differential equationregression on function bases

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited In (4)

• Portfolio optimization with stochastic volatilities and constraints: an application in high dimension
• An efficient numerical method for the robust optimal investment problem with general utility functions
• Title not available (Why is that?)
• Title not available (Why is that?)

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