Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/95611
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | - |
dc.creator | Chen, X | - |
dc.creator | Li, X | - |
dc.creator | Yi, F | - |
dc.date.accessioned | 2022-09-22T06:14:05Z | - |
dc.date.available | 2022-09-22T06:14:05Z | - |
dc.identifier.issn | 1547-5816 | - |
dc.identifier.uri | http://hdl.handle.net/10397/95611 | - |
dc.language.iso | en | en_US |
dc.publisher | American Institute of Mathematical Sciences | en_US |
dc.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. | en_US |
dc.subject | Dual transformation | en_US |
dc.subject | Free boundary | en_US |
dc.subject | Non-smooth utility | en_US |
dc.subject | Optimal investment | en_US |
dc.subject | Optimal stopping | en_US |
dc.title | Optimal stopping investment with non-smooth utility over an infinite time horizon | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 81 | - |
dc.identifier.epage | 96 | - |
dc.identifier.volume | 15 | - |
dc.identifier.issue | 1 | - |
dc.identifier.doi | 10.3934/JIMO.2018033 | - |
dcterms.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. | - |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Journal of industrial and management optimization, Jan. 2019, v. 15, no. 1, p. 81-96 | - |
dcterms.isPartOf | Journal of industrial and management optimization | - |
dcterms.issued | 2019-01 | - |
dc.identifier.scopus | 2-s2.0-85063087587 | - |
dc.identifier.eissn | 1553-166X | - |
dc.description.validate | 202207 bcfc | - |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | AMA-0326 | en_US |
dc.description.fundingSource | RGC | en_US |
dc.description.pubStatus | Published | en_US |
dc.identifier.OPUS | 23735986 | en_US |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Li_Optimal_Stopping_Investment.pdf | Pre-Published version | 460.32 kB | Adobe PDF | View/Open |
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