Search Results - "dynamic programming/optimal control secondary: finance: portfolio"

Discrete time optimal investment under model uncertainty

Authors: Carassus, Laurence Ferhoune, Massinissa Laboratoire de Mathématiques de Reims (LMR) et al.

Contributors: Carassus, Laurence Ferhoune, Massinissa Laboratoire de Mathématiques de Reims (LMR) et al.

Source: https://hal.science/hal-04844190 ; 2024.

Subject Terms: optimal investment Knightian uncertainty nondominated model asymptotic elasticity MSC2000 subject classification : Primary: 93E20, 91B28 secondary: 91B16, 28B20 OR/MS subject classification : Primary: utility/preference: theory, dynamic programming/optimal control secondary: finance: portfolio, optimal investment, Knightian uncertainty, nondominated model, asymptotic elasticity MSC2000 subject classification : Primary: 93E20, 91B28, secondary: 91B16, dynamic programming/optimal control, secondary: finance: portfolio, [MATH]Mathematics [math]

Relation: info:eu-repo/semantics/altIdentifier/arxiv/2307.11919; ARXIV: 2307.11919

Availability: https://hal.science/hal-04844190
https://hal.science/hal-04844190v1/document
https://hal.science/hal-04844190v1/file/CarassusFerhouneRUM.pdf

Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models.

Authors: Carassus, Laurence Rásonyi, Miklós

Source: Mathematics of Operations Research; Feb2016, Vol. 41 Issue 1, p146-173, 28p

Subject Terms: FINANCIAL markets, DISCRETE-time systems, EXPECTED utility, UTILITY functions, ASYMPTOTES, MATHEMATICAL models