Existence and uniqueness of solutions to
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Bertram DΓΌring; Ansgar JΓΌngel
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Article
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2005
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Elsevier Science
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English
β 379 KB
A quasilinear parabolic equation with quadratic gradient terms is analyzed. The equation models an optimal portfolio in so-called incomplete financial markets consisting of risky assets and non-tradable state variables. Its solution allows to compute an optimal portfolio strategy. The quadratic grad