Constrained dynamic optimality and binomial terminal wealth
DOI10.1137/16M1085097zbMATH Open1384.60088WikidataQ130014124 ScholiaQ130014124MaRDI QIDQ4634645FDOQ4634645
Authors: Goran Peskir, Jesper Lund Pedersen 
Publication date: 11 April 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
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martingaleMarkov processdynamic optimalitygeometric Brownian motionmean-variance analysisstatic optimalityLagrange multiplierconstrained nonlinear optimal control
Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
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- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
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- Labor income, borrowing constraints, and equilibrium asset prices
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- Optimal mean-variance portfolio selection
- Optimal portfolios with a positive lower bound on final wealth
- Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
Cited In (11)
- Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Wealth optimization and dual problems for jump stock dynamics with stochastic factor
- Moment-constrained optimal dividends: precommitment and consistent planning
- Dynamic optimality in optimal variance stopping problems
- Optimal strategies for utility from terminal wealth with general bid and ask prices
- On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
- On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems
- A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk
- Optimal mean-variance portfolio selection
- Optimal mean-variance portfolio selection with no-short-selling constraint
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