Inter‐temporal mutual‐fund management
DOI10.1111/mafi.12349zbMath1522.91208MaRDI QIDQ6054428
Ka Chun Cheung, Alain Bensoussan, Sheung Chi Phillip Yam, Yiqun Li
Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
regularity of value functionInada conditionasset under managementdynamic programming and HJB equationFeyman-Kac representationinter-temporal mutual-fund managementopen-end mutual fundproportional management feeweighted Sobolev space for unbounded domains
Dynamic programming in optimal control and differential games (49L20) Portfolio theory (91G10) Hamilton-Jacobi equations in optimal control and differential games (49L12)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
- Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
- An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
- Stochastic optimal control of DC pension funds
- Optimal investment decisions when time-horizon is uncertain
- Mutual fund competition in the presence of dynamic flows
- The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
- A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- \(C^{1+\alpha}\)-regularity of viscosity solutions of general nonlinear parabolic equations
- Legendre transform-dual solution for a class of investment and consumption problems with HARA utility
- Mild solutions to the dynamic programming equation for stochastic optimal control problems
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
- Optimal investment strategies for the HARA utility under the constant elasticity of variance model
- Controlled Markov processes and viscosity solutions
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Unemployment Risks and Optimal Retirement in an Incomplete Market
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- A Method for the Spatial Discretization of Parabolic Equations in One Space Variable
- MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS
- Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- Portfolio Selection with Transaction Costs
- An elementary approach to the Merton problem
This page was built for publication: Inter‐temporal mutual‐fund management
