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http://hdl.handle.net/10397/93891
Title: | An optimal investment problem with nonsmooth and nonconcave utility over a finite time horizon | Authors: | Guan, C Li, X Zhou, W |
Issue Date: | 2020 | Source: | SIAM journal on financial mathematics, 2020, v. 11, no. 2, p. 411-436 | Abstract: | In this paper, we study a class of optimal investment problems with a nonsmooth and nonconcave utility function, where the value function is the expected utility determined by the state process and time. We adopt partial differential equation methods to prove that the value function belongs to C2,1 under some proper conditions of the utility function. Moreover, we analyze the continuity of the optimal strategy and obtain some of its properties around the boundary and the terminal time. Also, an example sheds light on the theoretical results established. | Keywords: | Dual transformation Nonconcave Nonsmooth Optimal investment Parabolic quasi-linear equation |
Publisher: | Society for Industrial and Applied Mathematics | Journal: | SIAM journal on financial mathematics | EISSN: | 1945-497X | DOI: | 10.1137/19M1273086 | Rights: | © 2020 Society for Industrial and Applied Mathematics The following publication Guan, C., Li, X., & Zhou, W. (2020). An optimal investment problem with nonsmooth and nonconcave utility over a finite time horizon. SIAM Journal on Financial Mathematics, 11(2), 411-436 is available at https://doi.org/10.1137/19M1273086 |
Appears in Collections: | Journal/Magazine Article |
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