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Dynamic programming / Mathematical optimization / Partial differential equations / Stochastic control / Hamilton–Jacobi–Bellman equation / Optimal control / Bellman equation / Sturm–Liouville theory / Calculus / Mathematical analysis / Control theory


Optimal investment with high-watermark performance fee Karel Janeˇcek
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Document Date: 2011-01-05 10:31:21

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Company

Perron / /

Currency

pence / /

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Facility

Charles University / University Station C1200 / University of Graz / University of Texas / /

IndustryTerm

real-world applications / similar path-wise solutions / viscosity solutions / classical solution / closed form solution / closed-form solution / smooth solution / numerical algorithms / non-trivial solution / viscosity solution / /

Organization

Charles University / Prague / University of Texas at Austin / National Science Foundation / University of Graz / Department of Mathematics / /

Person

Paolo Guasoni / Karel Jane / Karl Kunish / /

Position

author / investment manager / Professor / manager in this case / manager / fund manager / model of capital gains taxation / manager / i.e. / risk-neutral fund manager / /

Technology

numerical algorithms / /

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