Portfolio optimization models on infinite-time horizon

DOI10.1023/B:JOTA.0000042596.26927.2DzbMATH Open1082.91051OpenAlexW1979139810MaRDI QIDQ819340FDOQ819340

Authors: N. E. Zubov 

Publication date: 28 March 2006

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:jota.0000042596.26927.2d

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zbMATH Keywords

portfolio optimizationsubsolutions and supersolutionsdynamic programming equations

Mathematics Subject Classification ID

Portfolio theory (91G10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

Cites Work

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Cited In (24)

• Optimal consumption and portfolio policies with an infinite horizon: Existence and convergence
• Asymptotic approximation of optimal portfolio for small time horizons
• A cooperative bargaining framework for decentralized portfolio optimization
• Portfolio optimization with uncertain exit time in infinite-time horizon
• Optimal portfolio and consumption models under loss aversion in infinite time horizon
• Optimal investment problem with complete memory on an infinite time horizon
• An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions
• A stochastic control model of investment and consumption with applications to financial economics
• An optimal investment and consumption model with stochastic interest rate on a finite time horizon
• Portfolio optimization problems with logarithmic utility in CIR interest rate model
• Title not available (Why is that?)
• A stochastic portfolio optimization model with complete memory
• Risk-sensitive portfolio optimization problems with fixed income securities
• An infinite time horizon portfolio optimization model with delays
• A stochastic control model of investment, production and consumption
• 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
• Optimal investment for all time horizons and Martin boundary of space-time diffusions
• Optimal portfolio choice with path dependent labor income: the infinite horizon case
• Title not available (Why is that?)
• Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model
• On optimal portfolio investment models
• A stochastic control model of investment, production, and consumption on a finite horizon
• Portfolio optimization for assets with stochastic yields and stochastic volatility

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