A numerical solution of optimal portfolio selection problem with general utility functions
Guiyuan Ma, Song-Ping Zhu, Boda Kang
| Year of publication: |
2020
|
|---|---|
| Authors: | Ma, Guiyuan ; Zhu, Song-Ping ; Kang, Boda |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 55.2020, 3, p. 957-981
|
| Subject: | Optimal portfolio selection | Relative risk aversion | Monotone numerical scheme | Hamilton-Jacobi-Bellman (HJB) equation | Life-cycle investment advice | Portfolio-Management | Portfolio selection | Theorie | Theory | Nutzenfunktion | Utility function | Risikoaversion | Risk aversion | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09923-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012223689