Portfolio selection and job switching with CARA utility
YH Shin, HS Lee - Journal of Computational and Applied Mathematics, 2023 - Elsevier
We investigate an optimal consumption and portfolio selection problem with a job switching
option. The agent with CARA utility can choose between two types of jobs: one with high …
option. The agent with CARA utility can choose between two types of jobs: one with high …
Linearization in Financial Mathematics
C Sophocleous - Journal of Physics: Conference Series, 2023 - iopscience.iop.org
We consider certain forms of nonlinear partial differential equations that arise in Financial
Mathematics. Our central aim is to derive mappings that connect such equations with linear …
Mathematics. Our central aim is to derive mappings that connect such equations with linear …
Utility maximization and portfolio management with administrative fee and dividend
EE Akpanibah, LE George, WV German - International Journal of …, 2024 - tnsmb.org
International Journal of Mathematical Analysis and Modelling Page 1 ḟ International Journal of
Mathematical Analysis and Modelling (Formerly Journal of the Nigerian Society for Mathematical …
Mathematical Analysis and Modelling (Formerly Journal of the Nigerian Society for Mathematical …
Merton's Portfolio Problem under Grezelak-Oosterlee-Van Veeren Model
T Romsäter - 2023 - diva-portal.org
Abstract Merton's Optimal Investment-Consumption Problem is a classic optimization
problem in finance. It aims to find the optimal controls for a portfolio with both risky and risk …
problem in finance. It aims to find the optimal controls for a portfolio with both risky and risk …