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"Numerical method for optimal portfolio in an exponential utility ..."

Miglena N. Koleva, Lubin G. Vulkov (2020)

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DOI: 10.1080/00207160.2018.1440289

access: closed

type: Journal Article

metadata version: 2023-08-28

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Miglena N. Koleva, Lubin G. Vulkov:
Numerical method for optimal portfolio in an exponential utility regime-switching model. Int. J. Comput. Math. 97(1-2): 120-140 (2020)

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