Existence of solutions in non-convex dynamic programming and optimal investment
Teemu Pennanen, Ari-Pekka Perkkiö, Miklós Rásonyi
| Year of publication: |
March 2017
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|---|---|
| Authors: | Pennanen, Teemu ; Perkkiö, Ari-Pekka ; Rásonyi, Miklós |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 11.2017, 2, p. 173-188
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| Subject: | Non-convex optimization | Dynamic programming | Non-concave utility functions | Market frictions | Illiquidity | Dynamische Optimierung | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Nutzenfunktion | Utility function | Portfolio-Management | Portfolio selection | Investition | Investment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-016-0176-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011900537