Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion
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Publication:2045132
DOI10.1007/s00245-020-09657-4zbMath1470.91224OpenAlexW3001857990WikidataQ115608605 ScholiaQ115608605MaRDI QIDQ2045132
Publication date: 11 August 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-020-09657-4
Optimality conditions for problems involving partial differential equations (49K20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Actuarial mathematics (91G05)
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