A stochastic portfolio optimization model with complete memory

DOI10.1080/07362994.2017.1299629zbMath1369.91165OpenAlexW2612130587WikidataQ57428563 ScholiaQ57428563MaRDI QIDQ5355186

Azmat Hussain, Tao Pang

Publication date: 6 September 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2017.1299629

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programmingportfolio optimizationstochastic delay equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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