A CONVERGENCE OF OPTIMAL INVESTMENT STRATEGIES FOR THE HARA UTILITY FUNCTIONS

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DOI10.7858/EAMJ.2015.009zbMath1411.91292OpenAlexW2331002660MaRDI QIDQ2799673

Jai Heui Kim

Publication date: 13 April 2016

Published in: East Asian mathematical journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7858/eamj.2015.009

zbMATH Keywords

constant elasticity of variance model HARA utility function extended logarithmic utility function stochastic optimal solution

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20)

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