Long-Term Optimal Investment in Matrix Valued Factor Models

DOI10.1137/15M1030625zbMath1367.91169arXiv1408.7010MaRDI QIDQ5280243

Scott Robertson, Hao Xing

Publication date: 20 July 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.7010

zbMATH Keywords

portfolio choicerisk sensitive controlWishart processlong-runisoelastic utilitylong horizon optimal investment problemsmatrix valued state variablesoptimal strategy convergenceportfolio turnpike

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) PDEs with randomness, stochastic partial differential equations (35R60) Existence theories for optimal control problems involving partial differential equations (49J20) Portfolio theory (91G10) Semilinear parabolic equations (35K58)

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Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps, Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints, Turnpike property and convergence rate for an investment and consumption model, Consumption-investment optimization with Epstein-Zin utility in incomplete markets

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