The optimal investment problem with inflation and liquidity risk.

Xinyue Chen Peimin Chen Yong He Xiaoyang Wang

Published in: J. Comput. Appl. Math. (2024)

Keyphrases

optimal portfolio
portfolio optimization
risk aversion
risk neutral
portfolio management
conditional expectation
decision making
investment decisions
optimal solution
high risk
expected utility
optimal control
risk factors
risk management
worst case
risk measures
dynamic programming
neural network