Optimal investment problem under behavioral setting: A Lagrange duality perspective

SSRN Electronic Journal ◽

10.2139/ssrn.3801926 ◽

2021 ◽

Author(s):

Xiuchun Bi ◽

Lvning Yuan ◽

Zhenyu Cui ◽

Jiacheng Fan ◽

Shuguang Zhang

Keyword(s):

Optimal Investment ◽

Lagrange Duality ◽

Investment Problem ◽

Optimal Investment Problem

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The optimal investment problem in stochastic and local volatility models

The Journal of Investment Strategies ◽

10.21314/jois.2018.104 ◽

2018 ◽

Author(s):

Vladimir V. Piterbarg

Keyword(s):

Optimal Investment ◽

Local Volatility ◽

Investment Problem ◽

Volatility Models ◽

Optimal Investment Problem

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A risk-sensitive stochastic control approach to an optimal investment problem with partial information

Finance and Stochastics ◽

10.1007/s00780-006-0010-8 ◽

2006 ◽

Vol 10 (3) ◽

pp. 395-426 ◽

Author(s):

Hiroaki Hata ◽

Yasunari Iida

Keyword(s):

Stochastic Control ◽

Partial Information ◽

Optimal Investment ◽

Control Approach ◽

Investment Problem ◽

Risk Sensitive ◽

Optimal Investment Problem

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On a free boundary problem for an optimal investment problem with different interest rates

Communications in Mathematical Sciences ◽

10.4310/cms.2020.v18.n1.a2 ◽

2020 ◽

Vol 18 (1) ◽

pp. 31-54

Author(s):

Chonghu Guan

Keyword(s):

Free Boundary ◽

Interest Rates ◽

Boundary Problem ◽

Free Boundary Problem ◽

Optimal Investment ◽

Investment Problem ◽

A Free Boundary Problem ◽

Optimal Investment Problem

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One kind of corporate optimal investment problem: Inflation case

Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference ◽

10.1109/cdc.2009.5400471 ◽

2009 ◽

Author(s):

Zongyuan Huang ◽

Zhen Wu

Keyword(s):

Optimal Investment ◽

Investment Problem ◽

Optimal Investment Problem

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Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem

Proceedings of the Japan Academy Series A Mathematical Sciences ◽

10.3792/pjaa.84.11 ◽

2008 ◽

Vol 84 (1) ◽

pp. 11-14 ◽

Author(s):

Ryo Abe ◽

Naoyuki Ishimura

Keyword(s):

Differential Equation ◽

Partial Differential Equation ◽

Existence Of Solutions ◽

Nonlinear Partial Differential Equation ◽

Optimal Investment ◽

Partial Differential ◽

Investment Problem ◽

Optimal Investment Problem

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An optimal investment problem with randomly terminating income

Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference ◽

10.1109/cdc.2009.5400455 ◽

2009 ◽

Author(s):

Michel Vellekoop ◽

Mark Dav

Keyword(s):

Optimal Investment ◽

Investment Problem ◽

Optimal Investment Problem

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On a Nonlinear Optimal Investment Problem

Differential Equations ◽

10.1023/b:dieq.0000019352.47870.7f ◽

2003 ◽

Vol 39 (11) ◽

pp. 1603-1608

Author(s):

M. S. Nikol'skii

Keyword(s):

Optimal Investment ◽

Investment Problem ◽

Optimal Investment Problem

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Optimal Investment Problem for Life Insurance Company by Considering Health-Level

Modern Economy ◽

10.4236/me.2019.94075 ◽

2019 ◽

Vol 10 (04) ◽

pp. 1107-1120

Author(s):

Jiachen Chen ◽

Ximin Rong ◽

Hui Zhao

Keyword(s):

Life Insurance ◽

Optimal Investment ◽

Insurance Company ◽

Life Insurance Company ◽

Health Level ◽

Investment Problem ◽

Optimal Investment Problem

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Optimal Investment Problem with Multiple Risky Assets under the Constant Elasticity of Variance (CEV) Model

Modern Economy ◽

10.4236/me.2012.36092 ◽

2012 ◽

Vol 03 (06) ◽

pp. 718-725 ◽

Author(s):

Hui Zhao ◽

Ximin Rong ◽

Weiqin Ma ◽

Bo Gao

Keyword(s):

Optimal Investment ◽

Cev Model ◽

Constant Elasticity ◽

Risky Assets ◽

Constant Elasticity Of Variance ◽

Investment Problem ◽

Optimal Investment Problem

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A spectral method for an Optimal Investment problem with transaction costs under Potential Utility

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2017.01.015 ◽

2017 ◽

Vol 319 ◽

pp. 262-276 ◽

Author(s):

Javier de Frutos ◽

Víctor Gatón

Keyword(s):

Transaction Costs ◽

Spectral Method ◽

Optimal Investment ◽

Potential Utility ◽

Investment Problem ◽

Optimal Investment Problem

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