Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models.
type: Item
instance of: scholarly article
title: Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models.
author: Yichen Zhu
author: Marcos Escobar Anel
published in: Applied Mathematics and Computation
publication date: 2022-01-27T00:00:00Z
Mathematics Subject Classification ID: 49M25
Mathematics Subject Classification ID: 49N90
Mathematics Subject Classification ID: 60G99
Mathematics Subject Classification ID: 91-08
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 7465280
zbMATH Keywords: dynamic programming
zbMATH Keywords: quadratic-affine processes
zbMATH Keywords: expected utility
zbMATH Keywords: portfolio optimization
zbMATH Keywords: 4/2 stochastic volatility
MaRDI profile type: Publication
full work available at URL: j.amc.2021.126836
OpenAlex ID: W4200238892
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DOI: 10.1016/J.AMC.2021.126836
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description: scientific article; zbMATH DE number 7465280