Optimal portfolio with power utility of absolute and relative wealth

Positivity Preserving Numerical Method for Optimal Portfolio in a Power Utility Two-Dimensional Regime-Switching Model

Numerical Methods and Applications - Lecture Notes in Computer Science ◽

10.1007/978-3-030-10692-8_48 ◽

2019 ◽

pp. 424-432 ◽

Cited By ~ 1

Author(s):

Miglena N. Koleva ◽

Lubin G. Vulkov

Keyword(s):

Numerical Method ◽

Regime Switching ◽

Optimal Portfolio ◽

Two Dimensional ◽

Positivity Preserving ◽

Power Utility ◽

Regime Switching Model ◽

Switching Model

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Optimal Portfolio Management with Partial Observations and Power Utility Function

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_36 ◽

1999 ◽

pp. 605-619 ◽

Cited By ~ 19

Author(s):

Raymond Rishel

Keyword(s):

Utility Function ◽

Portfolio Management ◽

Optimal Portfolio ◽

Power Utility ◽

Partial Observations

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Numerical analysis of a finite difference scheme for optimal portfolio in a power utility regime-switching model

10.1063/5.0041973 ◽

2021 ◽

Author(s):

Miglena N. Koleva ◽

Lubin G. Vulkov

Keyword(s):

Numerical Analysis ◽

Finite Difference ◽

Difference Scheme ◽

Regime Switching ◽

Finite Difference Scheme ◽

Optimal Portfolio ◽

Power Utility ◽

Regime Switching Model ◽

Switching Model

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Numerical approach to optimal portfolio in a power utility regime-switching model

10.1063/1.5013961 ◽

2017 ◽

Cited By ~ 1

Author(s):

Tihomir B. Gyulov ◽

Miglena N. Koleva ◽

Lubin G. Vulkov

Keyword(s):

Regime Switching ◽

Numerical Approach ◽

Optimal Portfolio ◽

Power Utility ◽

Regime Switching Model ◽

Switching Model

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Optimal Portfolio for Parabolic Type Infinite-Dimensional Factor Model with Power Utility

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications ◽

10.5687/sss.2004.65 ◽

2004 ◽

Vol 2004 (0) ◽

pp. 65-70

Author(s):

ShinIchi AIHARA ◽

Arunabha BAGCHI

Keyword(s):

Factor Model ◽

Parabolic Type ◽

Optimal Portfolio ◽

Power Utility ◽

Infinite Dimensional

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Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility

Nonlinear Dynamics ◽

10.1007/s11071-021-06203-x ◽

2021 ◽

Author(s):

Xuelin Yong ◽

Xiaoqian Sun ◽

Jianwei Gao

Keyword(s):

Pension Plan ◽

Optimal Portfolio ◽

Power Utility ◽

Cev Model

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Efficient finite difference method for optimal portfolio in a power utility regime-switching model

International Journal of Computer Mathematics ◽

10.1080/00207160.2018.1474207 ◽

2018 ◽

Vol 96 (11) ◽

pp. 2115-2134 ◽

Cited By ~ 3

Author(s):

Tihomir B. Gyulov ◽

Miglena N. Koleva ◽

Lubin G. Vulkov

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Regime Switching ◽

Optimal Portfolio ◽

Power Utility ◽

Regime Switching Model ◽

Switching Model

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THE METHODICAL APPROACH TO FORMATION AND INVESTMENT PROVIDING THE INDUSTRIAL ENTERPRISES’ INNOVATIVE PROJECTS OPTIMAL PORTFOLIO

Economy and Society ◽

10.32782/2524-0072/2019-20-18 ◽

2019 ◽

Author(s):

Kateryna Boldovska

Keyword(s):

Optimal Portfolio ◽

Industrial Enterprises ◽

Methodical Approach

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The Corporate Optimal Portfolio and Consumption Choice Problem in Trade Project with Borrowing Rate Higher than Deposit Rate

2019 Chinese Control Conference (CCC) ◽

10.23919/chicc.2019.8866039 ◽

2019 ◽

Author(s):

Panpan Zhang

Keyword(s):

Optimal Portfolio ◽

Choice Problem ◽

Deposit Rate

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Relative Wealth Concerns and Financial Bubbles

CFA Digest ◽

10.2469/dig.v38.n3.23 ◽

2008 ◽

Vol 38 (3) ◽

pp. 53-54

Author(s):

Johann U. de Villiers

Keyword(s):

Financial Bubbles ◽

Relative Wealth

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