Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach.
Fred E. BenthKenneth H. KarlsenKristin ReikvamPublished in: Finance Stochastics (2001)
Keyphrases
- differential equations
- nonlinear differential equations
- boundary value problem
- portfolio selection
- numerical integration
- ordinary differential equations
- numerical methods
- optimal portfolio
- dynamical systems
- difference equations
- numerical solution
- optimal solution
- feed forward artificial neural networks
- partial differential equations
- robust optimization
- decision support system
- financial markets
- multiple objectives
- optimal control
- high order
- dynamic programming