STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
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Publication:5487829
DOI10.1142/S0219024906003858zbMATH Open1138.91468OpenAlexW2022202267MaRDI QIDQ5487829FDOQ5487829
Authors: Tao Pang 
Publication date: 12 September 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024906003858
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Cited In (29)
- Asymptotic approximation of optimal portfolio for small time horizons
- Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market
- Optimal consumption problem in the Vasicek model
- An optimal portfolio problem in a defaultable market
- Optimal portfolios for logarithmic utility.
- An optimal portfolio model with stochastic volatility and stochastic interest rate
- Optimal debt ratio and dividend strategies for an insurer under a regime-switching model
- Title not available (Why is that?)
- An empirical analysis on log-utility asset management
- Portfolio rules with log consumption utility and Cox-Ingersoll-Ross interest rate
- An Application of Stochastic Control Theory to Financial Economics
- Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market
- Portfolio optimization problems with logarithmic utility in CIR interest rate model
- On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component
- Legendre transform-dual solution for investment and consumption problem under the Vasicek model
- An infinite time horizon portfolio optimization model with delays
- Optimal investment and consumption with default risk: HARA utility
- A stochastic portfolio optimization model with bounded memory
- Robust consumption-investment problem on infinite horizon
- A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation
- Iterative nonparametric estimation of a log-optimal portfolio selection function
- Portfolio optimization models on infinite-time horizon
- Title not available (Why is that?)
- Optimal debt ratio and dividend payment strategies with reinsurance
- Optimal debt ratio and consumption strategies in financial crisis
- Stochastic portfolio optimization with default risk
- Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model
- The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
- Portfolio optimization for assets with stochastic yields and stochastic volatility
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