Smooth Value Function with Applications in Wealth-CVaR Efficient Portfolio and Turnpike Property
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- Cox, John C. & Huang, Chi-fu, 1992. "A continuous-time portfolio turnpike theorem," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 491-507.
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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- Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015.
"Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation,"
Finance and Stochastics,
Springer, vol. 19(2), pages 415-448, April.
- Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2013. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Papers 1301.0280, arXiv.org, revised Feb 2015.
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