A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection

DOI10.1287/OPRE.2021.2197MaRDI QIDQ5080645zbMATH OpenOpenAlexFDO

Authors SingRu (Celine) Hoe, Joohyun Kim, Zhongfeng Yan, Alain Bensoussan

Publication date 31 May 2022

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.2021.2197

zbMATH Keywords

risk managementfixed point problemtime inconsistencyfinancial engineeringmean field-type controlconsumption and portfolio choice

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(3)

• Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls
• Optimal mean-variance portfolio selection
• Extending the MAD portfolio optimization model to incorporate downside risk aversion

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