Optimal portfolio with power utility of absolute and relative wealth

DOI10.1016/j.spl.2021.109225OpenAlexW3193506588MaRDI QIDQ2244540

Andrey Sarantsev

Publication date: 12 November 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.08139

zbMATH Keywords

stochastic optimizationportfolio theoryMerton's problemwealth process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Contract theory in continuous-time models
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• Delegated portfolio management
• Aggregation and Linearity in the Provision of Intertemporal Incentives
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Stochastic differential equations. An introduction with applications.

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