Optimal active lifetime investment

DOI10.1080/00207179.2021.1979252MaRDI QIDQ6040955zbMATH OpenOpenAlexFDO

Authors Lin Xu, Linlin Wang, Xiao Liu

Publication date 25 May 2023

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179.2021.1979252

zbMATH Keywords

active investmentGompertz-Makeham distributionlifetimeMarkov chain approximation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)

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Cites work

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• Risk-constrained dynamic active portfolio management
• Tracking a Financial Benchmark Using a Few Assets

Cited in

(1)

• Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting

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