Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/95611
Title: | Optimal stopping investment with non-smooth utility over an infinite time horizon | Authors: | Chen, X Li, X Yi, F |
Issue Date: | Jan-2019 | Source: | Journal of industrial and management optimization, Jan. 2019, v. 15, no. 1, p. 81-96 | Abstract: | This study addresses an investment problem facing a venture fund manager who has a non-smooth utility function. The theoretical model characterizes an absolute performance-based compensation package. Technically, the research methodology features stochastic control and optimal stopping by formulating a free-boundary problem with a nonlinear equation, which is transferred to a new one with a linear equation. Numerical results based on simulations are presented to better illustrate this practical investment decision mechanism. | Keywords: | Dual transformation Free boundary Non-smooth utility Optimal investment Optimal stopping |
Publisher: | American Institute of Mathematical Sciences | Journal: | Journal of industrial and management optimization | ISSN: | 1547-5816 | EISSN: | 1553-166X | DOI: | 10.3934/JIMO.2018033 | Rights: | This article has been published in a revised form in Journal of Industrial & Management Optimization http://dx.doi.org/10.3934/JIMO.2018033. This version is free to download for private research and study only. Not for redistribution, re-sale or use in derivative works. |
Appears in Collections: | Journal/Magazine Article |
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Li_Optimal_Stopping_Investment.pdf | Pre-Published version | 460.32 kB | Adobe PDF | View/Open |
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