Turnpike behavior of long-term investments

DOI10.1007/S007800050050MaRDI QIDQ1297906zbMATHOpenAlexFDO

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

zbMATH Keywords

dynamic programmingcontinuous-time modelturnpike propertyviscosity solutions

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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

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