Optimal portfolio selection based on a path-dependent utility function

MaRDI QIDQ3068492zbMATH OpenFDO

Authors Joonghee Huh, Adam W. Kolkiewicz

Publication date 15 January 2011

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Portfolio theory (91G10) Utility theory (91B16)

Recommendations

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Cited in

(6)

• History path dependent optimal control and portfolio valuation and management
• Portfolio selection with hyperexponential utility functions
• Optimal portfolio under state-dependent expected utility
• A note on portfolio optimization with path-dependent utility
• A dynamic programming approach to path-dependent constrained portfolios
• Optimal portfolio selection of mean-variance utility with stochastic interest rate

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