Portfolio optimization models on infinite-time horizon
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- A solution approach to valuation with unhedgeable risks
- An Application of Stochastic Control Theory to Financial Economics
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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
- An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions
- Optimal portfolio and consumption models under loss aversion in infinite time horizon
- Optimal investment problem with complete memory on an infinite time horizon
- 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
- scientific article; zbMATH DE number 2015381 (Why is no real title available?)
- Risk-sensitive portfolio optimization problems with fixed income securities
- A stochastic portfolio optimization model with complete memory
- An infinite time horizon portfolio optimization model with delays
- Robust consumption-investment problem on infinite horizon
- A stochastic control model of investment, production and consumption
- A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation
- scientific article; zbMATH DE number 1552542 (Why is no real title available?)
- 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
- 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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