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Numerical method for optimal portfolio in an exponential utility regime-switching model - MaRDI portal

Numerical method for optimal portfolio in an exponential utility regime-switching model (Q5030573)

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scientific article; zbMATH DE number 7475964
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English
Numerical method for optimal portfolio in an exponential utility regime-switching model
scientific article; zbMATH DE number 7475964

    Statements

    title
    Numerical method for optimal portfolio in an exponential utility regime-switching model (English)
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    author
    Miglena N. Koleva
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    Lubin G. Vulkov
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    publication date
    17 February 2022
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    zbMATH Keywords
    regime-switching model
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    semi-linear parabolic equation
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    exponential non-linearity
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    van Leer flux-limiter
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    negativity preserving
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    convergence
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    35K51
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    35K65
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    65M06
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    65M12
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    91G10
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    zbMATH DE Number
    7475964
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    Wikidata QID
    Q115552418
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    OpenAlex ID
    W2794318243
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