Traveling wave solutions to the nonlinear evolution equation for the risk preference

DOI10.14495/JSIAML.3.25zbMath1271.91095OpenAlexW1964679036MaRDI QIDQ2843171

Sakkakom Maneenop, Naoyuki Ishimura

Publication date: 9 August 2013

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jsiaml&kijiCd=3_0_25&screenID=AF06S010&noVol=3&noIssue=0

zbMATH Keywords

traveling wave solutionsrisk preferencesingular nonlinear partial differential equationArrow-Pratt coefficient of relative risk aversionoptimal economic behavior

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10) Traveling wave solutions (35C07)

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On traveling wave solutions to a Hamilton-Jacobi-Bellman equation with inequality constraints ⋮ Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation ⋮ A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM

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