On traveling wave solutions to the optimal investment problem with range constraints

Details On traveling wave solutions to the optimal investment problem with range constraints On traveling wave solutions to the optimal investment problem with range constraints

2011-08-04

arxiv.org/abs/1108.1035v2

Economy

Quantitative Finance

Portfolio Management

Scientific paper

The aim of this paper is to construct and analyze explicit solutions to a class of Hamilton-Jacobi-Bellman equations with range bounds on the optimal response variable. We construct a fully nonlinear partial differential equation as a model for the evolution of the risk preference in the optimal investment problem under the random risk process. We construct monotone risk-seeking and risk-averse traveling wave solutions.

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