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On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment - MaRDI portal

On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment

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Publication:3162573

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DOI10.1137/080733838zbMath1202.93155OpenAlexW2076782878MaRDI QIDQ3162573

Xudong Zeng, Michael I. Taksar

Publication date: 20 October 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080733838

zbMATH Keywords

dynamic programming incomplete market HJB equation random endowment CRRA utility optimal utility

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Estimation and detection in stochastic control theory (93E10) Portfolio theory (91G10)

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