HARA frontiers of optimal portfolios in stochastic markets
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Publication:1926829
DOI10.1016/j.ejor.2011.10.012zbMath1253.91164OpenAlexW2034451266MaRDI QIDQ1926829
Ethem Çanakoğlu, Süleyman Özekici
Publication date: 29 December 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2011.10.012
optimal controldynamic programmingMarkov processesportfolio optimizationHARA utility functionsHARA frontiers
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (20)
Portfolio optimization in a regime-switching market with derivatives ⋮ HARA utility maximization in a Markov-switching bond–stock market ⋮ Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions ⋮ Time-inconsistent optimal control problems with regime-switching ⋮ Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix ⋮ Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization ⋮ Multi-period power utility optimization under stock return predictability ⋮ Asset-liability management with state-dependent utility in the regime-switching market ⋮ Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences ⋮ Mean-variance portfolio selection under a non-Markovian regime-switching model ⋮ Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization ⋮ Optimal investment-consumption strategy under inflation in a Markovian regime-switching market ⋮ Massively parallel processing of recursive multi-period portfolio models ⋮ Chance-constrained optimization for pension fund portfolios in the presence of default risk ⋮ Time-consistent investment policies in Markovian markets: a case of mean-variance analysis ⋮ Dynamic portfolio choice with return predictability and transaction costs ⋮ Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function ⋮ Portfolio selection with regime-switching and state-dependent preferences ⋮ Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model ⋮ Approaches to multistage one-shot decision making
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