A note on portfolio optimization with path-dependent utility

DOI10.1007/BF02282042MaRDI QIDQ1313142zbMATH OpenOpenAlexFDO

Authors Tadashi Dohi, Sunji Osaki

Publication date 26 January 1994

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02282042

zbMATH Keywords

portfolio selectioncontinuous tradinggoal seeking investmentpath-dependent utility

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A First Passage Problem for the Wiener Process
• A Goal Seeking Investment Model
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Characterizations of Optimal Portfolios by Univariate and Multivariate Risk Aversion
• Growth-security profiles in capital accumulation under risk
• Level-crossing problems for random processes
• Minimizing or Maximizing the Expected Time to Reach Zero
• Optimal Growth with Intertemporally Dependent Preferences
• Optimization Problems in the Theory of Continuous Trading
• Optimum consumption and portfolio rules in a continuous-time model
• The joint density of the maximum and its location for a Wiener process with drift

Cited in

(7)

• History path dependent optimal control and portfolio valuation and management
• Realization utility with path-dependent reference points
• Alternative growth versus security in continuous dynamic trading
• A note on ``Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
• Multi-period portfolio selection with drawdown control
• Portfolio Selection, Periodic Evaluations and Risk Taking
• Optimal portfolio selection based on a path-dependent utility function

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