An extended Merton problem with relaxed benchmark tracking

DOI10.1111/MAFI.70015MaRDI QIDQ6847978zbMATH OpenFDO

Authors Lijun Bo, Yi-Jie Huang, Xiang Yu

Publication date 6 March 2026

Published in Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

Neumann boundary conditionduality theorembenchmark trackingreflected diffusion processesconsumption and portfolio choiceexpected largest shortfall

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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