HARA frontiers of optimal portfolios in stochastic markets

DOI10.1016/j.ejor.2011.10.012zbMath1253.91164OpenAlexW2034451266MaRDI QIDQ1926829

Ethem Çanakoğlu, Süleyman Özekici

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.10.012

zbMATH Keywords

optimal controldynamic programmingMarkov processesportfolio optimizationHARA utility functionsHARA frontiers

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items

Portfolio optimization in a regime-switching market with derivatives, HARA utility maximization in a Markov-switching bond–stock market, Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions, Time-inconsistent optimal control problems with regime-switching, Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix, Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization, Multi-period power utility optimization under stock return predictability, Asset-liability management with state-dependent utility in the regime-switching market, Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences, Mean-variance portfolio selection under a non-Markovian regime-switching model, Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization, Optimal investment-consumption strategy under inflation in a Markovian regime-switching market, Massively parallel processing of recursive multi-period portfolio models, Chance-constrained optimization for pension fund portfolios in the presence of default risk, Time-consistent investment policies in Markovian markets: a case of mean-variance analysis, Dynamic portfolio choice with return predictability and transaction costs, Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function, Portfolio selection with regime-switching and state-dependent preferences, Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model, Approaches to multistage one-shot decision making

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