Asset allocation with time variation in expected returns

DOI10.1016/S0167-6687(97)00021-8zbMath0914.90014MaRDI QIDQ1381452

Phelim P. Boyle, Hailiang Yang

Publication date: 17 March 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

viscosity solution; risk averse investor; consumption investment problem; several asset classes

Mathematics Subject Classification ID

93C95: Application models in control theory

93E20: Optimal stochastic control

Related Items

Investing for Retirement, Optimal portfolios with regime switching and value-at-risk constraint, Consistent fitting of one-factor models to interest rate data.

Cites Work

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