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International Journal of Computer Mathematics Volume 97, 2020 - Issue 1-2: Selected papers of CMMSE: Computational and Mathematical methods in Science Engineering and Economics
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Original Articles

Numerical method for optimal portfolio in an exponential utility regime-switching model

Miglena N. KolevaDepartment of Mathematics, Ruse University, Ruse, BulgariaCorrespondence[email protected]
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Lubin G. VulkovDepartment of Applied Mathematics and Statistics, Ruse University, Ruse, BulgariaView further author information
Pages 120-140 | Received 21 Sep 2017, Accepted 08 Feb 2018, Published online: 26 Feb 2018

Citations (5)

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Tihomir B. Gyulov, Miglena N. Koleva & Lubin G. Vulkov. (2019) Efficient finite difference method for optimal portfolio in a power utility regime-switching model. International Journal of Computer Mathematics 96:11, pages 2115-2134.
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Articles from other publishers (4)

Tihomir B. Gyulov, Miglena N. Koleva & Lubin G. Vulkov. (2021) Fitted finite volume method for indifference pricing in an exponential utility regime-switching model. Journal of Computational and Applied Mathematics 387, pages 112493.
Crossref
Miglena N. Koleva & Lubin G. Vulkov. Numerical analysis of a finite difference scheme for optimal portfolio in a power utility regime-switching model. Numerical analysis of a finite difference scheme for optimal portfolio in a power utility regime-switching model.
Hidekazu Yoshioka & Yumi Yoshioka. (2019) Modeling stochastic operation of reservoir under ambiguity with an emphasis on river management. Optimal Control Applications and Methods 40:4, pages 764-790.
Crossref
Miglena N. Koleva & Lubin G. Vulkov. 2019. Numerical Methods and Applications. Numerical Methods and Applications 424 432 .

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