A dynamic programming approach to path-dependent constrained portfolios

DOI10.1007/S10479-022-04640-4MaRDI QIDQ2159555zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• A dynamic programming approach to constrained portfolios
• Dynamic portfolio model under a capital at risk constraint
• Optimal portfolios under a value-at-risk constraint
• scientific article; zbMATH DE number 6834275
• Optimal portfolio selection based on a path-dependent utility function

Cites work

• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• A dynamic programming approach to constrained portfolios
• A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints
• Continuous-time stochastic control and optimization with financial applications
• Double lookbacks
• Dual formulation of the utility maximization problem: the case of nonsmooth utility.
• Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional
• On time-inconsistent stochastic control in continuous time
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption, investment and life insurance with surrender option guarantee
• Optimal mean-variance portfolio selection
• Optimal portfolio management with American capital guarantee
• Optimal portfolios with a positive lower bound on final wealth
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
• User’s guide to viscosity solutions of second order partial differential equations
• Utility maximization with a given pricing measure when the utility is not necessarily concave

Cited in

(10)

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

This page was built for publication: A dynamic programming approach to path-dependent constrained portfolios

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2159555)