Note on a Nonlinear Evolution Equation for the Risk Preference
نویسنده
چکیده
We propose a singular nonlinear partial differential equation (PDE), which describes the evolution of the risk preference in the optimal investment problem under the random risk process. The quantity is related to the Arrow-Pratt coefficient of relative risk aversion with respect to the optimal value function. We prove an existence theorem for this PDE.
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تاریخ انتشار 2009