A stochastic portfolio optimization model with complete memory

DOI10.1080/07362994.2017.1299629MaRDI QIDQ5355186zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

dynamic programmingHamilton-Jacobi-Bellman equationportfolio optimizationstochastic delay equation

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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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
• Optimal long-term investment model with memory
• Robust optimal investment problem with delay under Heston's model
• An infinite time horizon portfolio optimization model with delays
• Risk-sensitive portfolio optimization with two-factor having a memory effect
• Value functions in a regime switching jump diffusion with delay market model
• A stochastic portfolio optimization model with bounded memory
• 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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