scientific article; zbMATH DE number 6416872

zbMath1336.91068MaRDI QIDQ5179075

Igor Melicherčík, Csilla Krommerová

Publication date: 19 March 2015

Full work available at URL: http://www.kybernetika.cz/content/2014/6/1032

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

risk managementconvex constraintspower utility maximization

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• The Bellman equation for power utility maximization with semimartingales
• Portfolio Optimization and Performance Analysis
• POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
• Unnamed Item

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