Constrained dynamic optimality and binomial terminal wealth

DOI10.1137/16M1085097MaRDI QIDQ4634645zbMATH OpenWikidataFDO

Authors Goran Peskir, Jesper Lund Pedersen

Publication date 11 April 2018

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

martingaleMarkov processdynamic optimalitygeometric Brownian motionmean-variance analysisstatic optimalityLagrange multiplierconstrained nonlinear optimal control

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
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• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Continuous-time portfolio optimization under terminal wealth constraints
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
• Labor income, borrowing constraints, and equilibrium asset prices
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal mean-variance portfolio selection
• Optimal portfolios with a positive lower bound on final wealth
• Technical Note—Dynamic Programming and Probabilistic Constraints

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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