Portfolio optimization for an investor with a benchmark

DOI10.1007/s10203-013-0148-8zbMath1398.91530OpenAlexW2081901307MaRDI QIDQ2343105

Yanyan Li

Publication date: 4 May 2015

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-013-0148-8

zbMATH Keywords

stochastic controlportfolio optimizationbenchmarkexponential utility

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items

Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach, On the construction of optimal payoffs

Cites Work

• Controlled Markov processes and viscosity solutions
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Dynamic Programming Conditions for Partially Observable Stochastic Systems
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