An infinite time horizon portfolio optimization model with delays
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Publication:338659
DOI10.3934/mcrf.2016018zbMath1348.91259OpenAlexW2531526193WikidataQ57429610 ScholiaQ57429610MaRDI QIDQ338659
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
Hamilton-Jacobi-Bellman equationdynamic programmingstochastic controlportfolio optimizationstochastic delay equation
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)
Related Items (10)
Robust optimal investment problem with delay under Heston's model ⋮ Optimal investment problem with complete memory on an infinite time horizon ⋮ Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market ⋮ Optimal investment mean-field and N-player games with memory effect and relative performance competition ⋮ Optimal investment problem with delay under partial information ⋮ Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market ⋮ Optimal reinsurance and investment strategy with delay in Heston's SV model ⋮ OPTIMAL INVESTMENT AND CONSUMPTION WITH STOCHASTIC FACTOR AND DELAY ⋮ Parameter identification for portfolio optimization with a slow stochastic factor ⋮ Dynamic asset-liability management problem in a continuous-time model with delay
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