搜索结果: 1-5 共查到“商业经济学 utility-maximization”相关记录5条 . 查询时间(0.038 秒)
On the Stability of Utility Maximization Problems
On the Stability Utility Maximization Problems
2010/10/22
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, con...
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...
Utility Maximization of an Indivisible Market with Transaction Costs
Utility optimization indivisible market transaction cost
2010/10/19
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum...
Robust utility maximization for diffusion market model with misspecified coefficients
The maximin problem saddle point Hamilton-Jacobi-Bellman-Isaacs (HJBI) equation robust utility maximization
2010/11/2
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by di...