On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints

DOI10.1239/AAP/1396360106zbMath1286.93207OpenAlexW1982956161MaRDI QIDQ5415096

Ulrich Rieder, Marc Wittlinger

Publication date: 9 May 2014

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1396360106

zbMATH Keywords

portfolio optimizationLévy processdrawdown constraintilliquid marketHoward's policy improvement algorithmlimsup Markov decision processrandom trading time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

Related Items (2)

Expected utility of the drawdown-based regime-switching risk model with state-dependent termination ⋮ Analysis of a drawdown-based regime-switching Lévy insurance model

Cites Work

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• A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
• OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS
• Lévy Processes and Stochastic Calculus
• The Variance Gamma Process and Option Pricing

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