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Dynamic asset allocation and consumption ratcheting with costs - MaRDI portal

Dynamic asset allocation and consumption ratcheting with costs

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Publication:6569186

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DOI10.1016/j.cam.2024.115966zbMath1545.91282MaRDI QIDQ6569186

Junkee Jeon, Jehan Oh

Publication date: 8 July 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

free boundary problem obstacle problem investment singular control problem consumption ratcheting utility cost

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Portfolio theory (91G10)

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