Zobrazeno 1 - 5
of 5
pro vyhledávání: '"SingRu (Celine) Hoe"'
Publikováno v:
Mathematics, Vol 11, Iss 10, p 2346 (2023)
This paper studies the numerical algorithm of stochastic control problems in investment optimization. Investors choose the optimal investment to maximize the expected return under uncertainty. The optimality condition, the Hamilton–Jacobi–Bellman
Externí odkaz:
https://doaj.org/article/0cea85fd1ab94bac87145fc6ff285757
Publikováno v:
Operations Research. 70:815-829
A risk management version of the classical investment-consumption problem known as Merton's problem in the finance literature is proposed. Risk is measured by variance, which introduces a nonlinear function of the expected value into the control prob
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::527aa46d2f443bdd6cd39024d211d5b1
https://doi.org/10.1287/opre.2021.2197
https://doi.org/10.1287/opre.2021.2197
Publikováno v:
SIAM Journal on Financial Mathematics; 2019, Vol. 10 Issue 1, p156-180, 25p
Publikováno v:
Lecture Notes in Computer Science ISBN: 9783642171963
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::26a8209631a59d7dac1421bf877a8c59
https://doi.org/10.1007/978-3-642-17197-0_9
https://doi.org/10.1007/978-3-642-17197-0_9
Publikováno v:
Lecture Notes in Computer Science ISBN: 9783642171963
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8bf4cda6570477f8a71d84809e97e403
https://doi.org/10.1007/978-3-642-17197-0_5
https://doi.org/10.1007/978-3-642-17197-0_5