An infinite time horizon portfolio optimization model with delays
DOI10.3934/MCRF.2016018zbMATH Open1348.91259OpenAlexW2531526193WikidataQ57429610 ScholiaQ57429610MaRDI QIDQ338659FDOQ338659
Authors: Tao Pang, Azmat Hussain 
Publication date: 7 November 2016
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/mcrf.2016018
Recommendations
dynamic programmingHamilton-Jacobi-Bellman equationportfolio optimizationstochastic controlstochastic delay equation
Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
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Cited In (16)
- Parameter identification for portfolio optimization with a slow stochastic factor
- A new stochastic model for stock price with delay effects
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- Optimal reinsurance and investment strategy with delay in Heston's SV model
- Optimal investment problem with delay under partial information
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