A numerical solution of optimal portfolio selection problem with general utility functions
Year of publication: |
2020
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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
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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 |
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