英文标题：
《Exact Solutions for Optimal Investment Strategies and Indifference
Prices under Non-Differentiable Preferences》
---
作者：
Marcellino Gaudenzi and Michel Vellekoop
---
最新提交年份：
2018
---
英文摘要：
We propose an algorithm to calculate the exact solution for utility optimization problems on finite state spaces under a class of non-differentiable preferences. We prove that optimal strategies must lie on a discrete grid in the plane, and this allows us to reduce the dimension of the problem and define a very efficient method to obtain those strategies. We also show how fast approximations for the value function can be obtained with an a priori specified error bound and we use these to replicate results for investment problems with a known closed-form solution. These results show the efficiency of our approach, which can then be used to obtain numerical solutions for problems for which no explicit formulas are known.
---
中文摘要：
我们提出了一种算法来计算有限状态空间上效用优化问题在一类不可微偏好下的精确解。我们证明了最优策略必须位于平面上的离散网格上，这允许我们降低问题的维数，并定义一种非常有效的方法来获得这些策略。我们还展示了在先验指定的误差界下，值函数的逼近速度有多快，并使用这些结果来复制具有已知闭式解的投资问题的结果。这些结果表明了我们的方法的有效性，它可以用来获得没有显式公式的问题的数值解。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--

---
PDF下载：
-->