Pages that link to "Item:Q5388683"
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The following pages link to Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems (Q5388683):
Displaying 20 items.
- Turnpike property and convergence rate for an investment model with general utility functions (Q1623978) (← links)
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization (Q1683121) (← links)
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance (Q1735031) (← links)
- Recursive utility optimization with concave coefficients (Q2001553) (← links)
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (Q2123124) (← links)
- Decrease of capital guarantees in life insurance products: can reinsurance stop it? (Q2155835) (← links)
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization (Q2219642) (← links)
- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics (Q2230762) (← links)
- Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (Q2273896) (← links)
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan (Q2333010) (← links)
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation (Q2339124) (← links)
- Constrained nonsmooth utility maximization on the positive real line (Q2356566) (← links)
- Turnpike property and convergence rate for an investment and consumption model (Q2422169) (← links)
- Effective approximation methods for constrained utility maximization with drift uncertainty (Q2671440) (← links)
- A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management (Q5080488) (← links)
- An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon (Q5112730) (← links)
- Least-squares Monte-Carlo methods for optimal stopping investment under CEV models (Q5139226) (← links)
- Utility Maximization Under Trading Constraints with Discontinuous Utility (Q5742502) (← links)
- Backward SDEs for control with partial information (Q5743122) (← links)
- Non-concave expected utility optimization with uncertain time horizon (Q6133682) (← links)
