A note on portfolio optimization with path-dependent utility
From MaRDI portal
Publication:1313142
DOI10.1007/BF02282042zbMath0785.90009MaRDI QIDQ1313142
Publication date: 26 January 1994
Published in: Annals of Operations Research (Search for Journal in Brave)
91G10: Portfolio theory
Related Items
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Growth-security profiles in capital accumulation under risk
- Optimization Problems in the Theory of Continuous Trading
- A Goal Seeking Investment Model
- Characterizations of Optimal Portfolios by Univariate and Multivariate Risk Aversion
- The joint density of the maximum and its location for a Wiener process with drift
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Minimizing or Maximizing the Expected Time to Reach Zero
- A First Passage Problem for the Wiener Process
- Optimal Growth with Intertemporally Dependent Preferences
- Level-crossing problems for random processes