scientific article

zbMATH Open1374.91108MaRDI QIDQ2987110

Wei Yan

Publication date: 17 May 2017

Title of this publication is not available (Why is that?)

zbMATH Keywords

closed-form solutionHJB equationPoisson processsafety-first criterioncontinuous-time portfolio model

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

Related Items (1)

Portfolio optimization under safety first expected utility with nonlinear probability distortion

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