The optimal mean variance problem with inflation
DOI10.3934/DCDSB.2016.21.185zbMATH Open1327.90362OpenAlexW2526718376MaRDI QIDQ894986FDOQ894986
Authors: Jingzhen Liu, Alain Bensoussan, Ka Fai Cedric Yiu 
Publication date: 25 November 2015
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2016.21.185
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Dynamic programming (90C39) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61) Optimal stochastic control (93E20)
Cites Work
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- Optimal portfolios with regime switching and value-at-risk constraint
- Lectures on optimization - theory and algorithms. Notes by M. K. V. Murthy
- Optimal stochastic differential games with VaR constraints
- Optimal investment with a value-at-risk constraint
- OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
- The premium of dynamic trading
- Optimal investment of an insurer with regime-switching and risk constraint
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