An asymptotic expansion scheme for optimal investment problems

DOI10.1023/B:SISP.0000026045.26381.1dzbMath1181.91302OpenAlexW1994932624MaRDI QIDQ701968

Nakahiro Yoshida, Akihiko Takahashi

Publication date: 17 January 2005

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:sisp.0000026045.26381.1d

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

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