Turnpike behavior of long-term investments

DOI10.1007/S007800050050zbMATH Open0924.90017OpenAlexW1982635124MaRDI QIDQ1297906FDOQ1297906

Authors: Chi-fu Huang, Thaleia Zarriphopoulou 

Publication date: 14 September 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050050

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zbMATH Keywords

dynamic programmingcontinuous-time modelturnpike propertyviscosity solutions

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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• Long-term optimal investment in matrix valued factor models
• The long-run behavior of consumption and wealth dynamics in complete financial market with heterogeneous investors
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• Investing for Retirement
• Robust portfolios and weak incentives in long-run investments
• Turnpike theorems for Markov games
• Turnpike property and convergence rate for an investment and consumption model
• On a PDE arising in one-dimensional stochastic control problems
• Abstract, classic, and explicit turnpikes
• Portfolios and risk premia for the long run
• Static fund separation of long-term investments
• Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model

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