An infinite time horizon portfolio optimization model with delays (Q338659): Difference between revisions

From MaRDI portal
Created claim: Wikidata QID (P12): Q57429610, #quickstatements; #temporary_batch_1711055989931
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Risk-sensitive dynamic asset management / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite Difference Approximations for Stochastic Control Systems with Delay / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control of stochastic functional differential equations with a bounded memory / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Stochastic Portfolio Optimization Model with Bounded Memory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Functional Itō calculus and stochastic integral representation of martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Solvable Stochastic Control Problems With Delay / rank
 
Normal rank
Property / cites work
 
Property / cites work: HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, I: Regularity of Viscosity Solutions / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic control problem with delay arising in a pension fund model / rank
 
Normal rank
Property / cites work
 
Property / cites work: An optimal consumption model with stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Application of Stochastic Control Theory to Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic control model of investment, production and consumption / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4086303 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk-Sensitive Control and an Optimal Investment Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4509488 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3375703 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control of linear stochastic systems described by functional differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control of stochastic systems with aftereffect / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5687977 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic programming in stochastic control of systems with delay / rank
 
Normal rank
Property / cites work
 
Property / cites work: When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional? / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Feedback Control of Linear Stochastic Systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control of linear stochastic systems with applications to time lag systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3707054 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4379368 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio optimization models on infinite-time horizon / rank
 
Normal rank
Property / cites work
 
Property / cites work: STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255599 / rank
 
Normal rank

Latest revision as of 20:54, 12 July 2024

scientific article
Language Label Description Also known as
English
An infinite time horizon portfolio optimization model with delays
scientific article

    Statements

    An infinite time horizon portfolio optimization model with delays (English)
    0 references
    0 references
    0 references
    7 November 2016
    0 references
    portfolio optimization
    0 references
    Hamilton-Jacobi-Bellman equation
    0 references
    dynamic programming
    0 references
    stochastic control
    0 references
    stochastic delay equation
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references