A stochastic portfolio optimization model with complete memory

DOI10.1080/07362994.2017.1299629MaRDI QIDQ5355186zbMATH OpenOpenAlexWikidataFDO

Authors Tao Pang, Azmat Hussain

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

dynamic programmingHamilton-Jacobi-Bellman equationportfolio optimizationstochastic delay equation

Mathematics Subject Classification ID

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

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Cited in

(18)

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• Robust optimal investment problem with delay under Heston's model
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• Optimal investment and risk control problems with delay for an insurer in defaultable market
• Value functions in a regime switching jump diffusion with delay market model
• A stochastic portfolio optimization model with bounded memory
• An infinite time horizon portfolio optimization model with delays
• Optimal investment problem with complete memory on an infinite time horizon
• Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market
• Optimal investment mean-field and N-player games with memory effect and relative performance competition
• Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market
• An application of functional Ito's formula to stochastic portfolio optimization with bounded memory
• Deep-control of memory via stochastic optimal control and deep learning
• An optimal portfolio choice problem with delays
• Risk-sensitive portfolio optimization with two-factor having a memory effect
• Optimal long-term investment model with memory

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