Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
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More about this item
KeywordsPortfolio choice; intertemporal utility; stochastic control; singular control; dynamic programming; integro-differential variational inequality; state constraint problem; viscosity solution; comparison result;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
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