【摘 要】
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We discuss a standard utility maximisation problem in Black-Scholes world with general utility functions.We show there is a classical solution to HJB equati
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We discuss a standard utility maximisation problem in Black-Scholes world with general utility functions.We show there is a classical solution to HJB equation with dual control method and give a representations of value function,optimal wealth process,optimal control in terms of those of dual problem.We apply results to solve wealth maximisation,turnpike property,and efficient frontier of utility and CVaR problems.(based on papers with Bian,Baojun and Bernard,Carole.)
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