Optimal portfolio choice with path dependent benchmarked labor income: a mean field model

DOI10.1016/j.spa.2021.11.010zbMath1489.34117arXiv2009.03922OpenAlexW3084141371MaRDI QIDQ2074981

Margherita Zanella, Fausto Gozzi, Giovanni Zanco, Boualem Djehiche

Publication date: 11 February 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.03922

zbMATH Keywords

dynamic programming/optimal control of SDEs in infinite dimension with McKean-Vlasov dynamics and state constraintslife-cycle optimal portfolio with labor income following path dependent and law dependent dynamicssecond order Hamilton-Jacobi-Bellman equations in infinite dimensionverification theorems and optimal feedback controls

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic functional-differential equations (34K50) Qualitative investigation and simulation of models involving functional-differential equations (34K60) Portfolio theory (91G10) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Related Items (6)

Robust Portfolio Choice with Sticky Wages ⋮ HJB equations and stochastic control on half-spaces of Hilbert spaces ⋮ A pricing formula for delayed claims: appreciating the past to value the future ⋮ Parameter estimation of discretely observed interacting particle systems ⋮ Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions ⋮ Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension

Cites Work

• An infinite-dimensional approach to path-dependent Kolmogorov equations
• Mathematical methods for financial markets.
• Representation and control of infinite dimensional systems
• Lifetime consumption and investment: retirement and constrained borrowing
• Continuous-time stochastic control and optimization with financial applications
• Introduction to functional differential equations
• Infinite-dimensional calculus under weak spatial regularity of the processes
• Zero-sum stochastic differential games of generalized McKean-Vlasov type
• A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems
• Existence of optimal strategies in linear multisector models
• Stochastic Optimal Control in Infinite Dimension
• Enlargement of Filtration with Finance in View
• Viscosity Solutions for Controlled McKean--Vlasov Jump-Diffusions
• Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case
• Stochastic Equations in Infinite Dimensions
• Probabilistic Theory of Mean Field Games with Applications II
• Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Optimal portfolio choice with path dependent benchmarked labor income: a mean field model