Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints

Applied Mathematics and Optimization

Volumn 46, Issue 1, 2002, Pages 55-78

  Pham, Huyên ^a,b  

^a CNRS   (France)

^b CREST   (France)

Author keywords

Dynamic programming equation; Logarithm transformation; Optimal portfolio; Semilinear partial differential equation; Smooth solution; Stochastic volatility

Indexed keywords

APPROXIMATION THEORY; CONSTRAINT THEORY; DYNAMIC PROGRAMMING; FUNCTION EVALUATION; MATHEMATICAL MODELS; MATHEMATICAL TRANSFORMATIONS; NUMERICAL METHODS; PARTIAL DIFFERENTIAL EQUATIONS; PROBLEM SOLVING; QUADRATIC PROGRAMMING; STOCHASTIC PROGRAMMING;

BELLMAN EQUATION; LOGARITHMIC TRANSFORMATION; OPTIMAL INVESTMENT MODELS; PORTFOLIO CONSTRAINTS; SEMILINEAR PARABOLIC EQUATION; SMOOTH SOLUTION; STOCHASTIC VOLATILITY;

OPTIMIZATION;

EID: 0141904066     PISSN: 00954616     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00245-002-0735-5     Document Type: Article

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