Optimal control for utility portfolio selection with liability

MaRDI QIDQ4926616zbMATH OpenFDO

Authors Hao Chang, Ximin Rong

Publication date 20 June 2013

zbMATH Keywords

dynamic portfolio selectiondynamic programming principleLegendre transformliability processnumerical examples

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10) Optimal stochastic control (93E20)

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• scientific article; zbMATH DE number 6874859

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(5)

• Portfolio selection with liability and affine interest rate in the HARA utility framework
• Optimal portfolio strategies with a liability and random risk: the case of different lending and borrowing rates.
• Portfolio optimization with asset-liability ratio regulation constraints
• Continuous-time optimal portfolio selection with liability
• Stochastic differential games on robust optimal asset-liability management with delay under the CEV model

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