A stochastic portfolio optimization model with complete memory
DOI10.1080/07362994.2017.1299629zbMATH Open1369.91165OpenAlexW2612130587WikidataQ57428563 ScholiaQ57428563MaRDI QIDQ5355186FDOQ5355186
Authors: Tao Pang, Azmat Hussain 
Publication date: 6 September 2017
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2017.1299629
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Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cited In (16)
- Optimal investment and risk control problems with delay for an insurer in defaultable market
- Optimal investment problem with complete memory on an infinite time horizon
- Optimal reinsurance and investment strategy with delay in Heston's SV model
- Optimal investment problem with delay under partial information
- Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market
- Robust optimal investment problem with delay under Heston's model
- Optimal long-term investment model with memory
- An infinite time horizon portfolio optimization model with delays
- Value functions in a regime switching jump diffusion with delay market model
- A stochastic portfolio optimization model with bounded memory
- Risk-sensitive portfolio optimization with two-factor having a memory effect
- A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory
- Recurrent neural networks for stochastic control problems with delay
- 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
- An application of functional Ito's formula to stochastic portfolio optimization with bounded memory
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