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An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon - MaRDI portal

An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon (Q5112730)

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scientific article; zbMATH DE number 7209460
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An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon
scientific article; zbMATH DE number 7209460

    Statements

    title
    An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon (English)
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    author
    Chonghu Guan
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    Xun Li
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    Wenxin Zhou
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    publication date
    8 June 2020
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    zbMATH Keywords
    optimal investment
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    parabolic quasi-linear equation
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    nonsmooth
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    nonconcave
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    dual transformation
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    cites work
    Q5189317
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    Q4032143
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    Q3760262
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    Q5548525
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    Q4354424
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    Q5297301
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    Identifiers

    DOI
    10.1137/19M1273086
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    zbMATH DE Number
    7209460
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    OpenAlex ID
    W3019630084
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