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Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution |
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| Authors: | Fred Espen Benth Kenneth Hvistendahl Karlsen Kristin Reikvam |
| Affiliation: | (1) Department of Mathematics, University of Oslo, P.O. Box 1053, Blindern, N–0316 Oslo, Norway and MaPhySto – Centre for Mathematical Physics and Stochastics, University of Aarhus, Ny Munkegade, DK-8000 Å rhus, Denmark (e-mail: fredb@math.uio.no; kre@math.uio.no) http://www.math.uio.no/fredb/,;(2) Department of Mathematics, University of Bergen, Johs. Brunsgt. 12, N–5008 Bergen, Norway (e-mail: kenneth.karlsen@mi.uib.no) http://www.mi.uib.no/˜kennethk/, NO |
| Abstract: | |
| Keywords: | : Portfolio choice intertemporal substitution singular stochastic control dynamic programming method integro-differential variational inequality viscosity solution closed form solution |
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