Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
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Publication:5957680
DOI10.1007/s007800000032zbMath1049.91059OpenAlexW2022110236MaRDI QIDQ5957680
Kenneth Hvistendahl Karlsen, Kristin Reikvam, Fred Espen Benth
Publication date: 13 March 2002
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1956/19537
viscosity solutionclosed form solutionintegro-differential variational inequalityportfolio choicedynamic programming methodintertemporal substitutionsingular stochastic control
Dynamic programming in optimal control and differential games (49L20) Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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