Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion (Q2045132)
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scientific article; zbMATH DE number 7381016
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion |
scientific article; zbMATH DE number 7381016 |
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Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion (English)
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11 August 2021
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wealth-dependent risk aversion
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PDEs
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perturbation theory
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asymptotic optimality
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Nash equilibrium
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