Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6898181 | European Journal of Operational Research | 2012 | 4 Pages |
Abstract
⺠We present a new model of forward dynamic utilities. ⺠We establish the existence and uniqueness of the solutions for a general (smooth) utility function. ⺠We show that the assumptions needed for such solutions are similar to those under the backward formulation. ⺠We provide unique viscosity solutions. ⺠We introduce Hausdorff-continuous viscosity solutions to the portfolio model.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Moawia Alghalith,