搜索结果: 1-2 共查到“经济学 nonsmooth utility maximization”相关记录2条 . 查询时间(0.093 秒)
Constrained NonSmooth Utility Maximization on the Positive Real Line
NonSmooth Utility Maximization Positive Real Line
2010/10/22
We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor's portfolio process and the utility function is not assumed to be strictly ...
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
nonsmooth utility maximization classical solution to HJB equation smooth
2010/10/20
In this paper we prove that there exists a smooth classical solution to the HJB equation for a large class of constrained problems with utility functions that are not necessarily differentiable or st...