A closed form solution for optimal dynamic portfolio problems

MaRDI QIDQ5405341zbMATH OpenFDO

Authors Xiangyu Zhang, Shaoyong Lai, Meng Wu, Yue Zhong

Publication date 2 April 2014

zbMATH Keywords

Cameron-Martin theoremKalman filteroptimal portfoliowealth process

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10) Financial applications of other theories (91G80)

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• Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?
• A generalized Cameron-Martin formula with applications to partially observed dynamic portfolio optimization.
• Closed-form solutions to discrete-time portfolio optimization problems
• A generalized clark representation formula, with application to optimal portfolios
• Mathematical approach to optimal portfolio problems
• scientific article; zbMATH DE number 5008178 (Why is no real title available?)
• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
• Dynamic Optimization of Investment Portfolio under Liquidity with Taylor Extension of Value function
• Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems

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