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Hamilton-Jacobi-Bellman (HJB) equation
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Computational economics
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A numerical solution of optimal portfolio selection problem with general utility functions
Ma, Guiyuan
;
Zhu, Song-Ping
;
Kang, Boda
- In:
Computational economics
55
(
2020
)
3
,
pp. 957-981
Persistent link: https://www.econbiz.de/10012223689
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Revisiting the Merton problem : from HARA to CARA utility
Ma, Guiyuan
;
Zhu, Song-Ping
- In:
Computational economics
59
(
2022
)
2
,
pp. 651-686
Persistent link: https://www.econbiz.de/10013169029
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