A dynamic programming approach to path-dependent constrained portfolios

DOI10.1007/S10479-022-04640-4zbMATH Open1497.91276OpenAlexW4220865350MaRDI QIDQ2159555FDOQ2159555

Authors: Marcos Escobar Anel 

Publication date: 1 August 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-022-04640-4

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zbMATH Keywords

expected utility theorypath-dependent claimsconstrained portfolio optimizationbarrier derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming (90C39) Portfolio theory (91G10) Utility theory (91B16)

Cites Work

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• A dynamic programming approach to constrained portfolios
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
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• On time-inconsistent stochastic control in continuous time
• Optimal mean-variance portfolio selection
• Optimal portfolios with a positive lower bound on final wealth
• Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional
• Optimal consumption, investment and life insurance with surrender option guarantee
• A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints

Cited In (10)

• History path dependent optimal control and portfolio valuation and management
• Optimal asset--liability management with constraints: A dynamic programming approach
• Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation
• Pathwise dynamic programming
• A note on portfolio optimization with path-dependent utility
• Constrained dynamic optimality and binomial terminal wealth
• Optimal portfolio selection based on a path-dependent utility function
• Precommitted strategies with initial-time and intermediate-time value-at-risk constraints
• A stochastic dynamic programming approach based on bounded rationality and application to dynamic portfolio choice
• A dynamic programming approach to constrained portfolios

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