A note on portfolio optimization with path-dependent utility

DOI10.1007/BF02282042zbMath0785.90009OpenAlexW2032988460MaRDI QIDQ1313142

Shunji Osaki, Tadashi Dohi

Publication date: 26 January 1994

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02282042

zbMATH Keywords

portfolio selectioncontinuous tradinggoal seeking investmentpath-dependent utility

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Alternative growth versus security in continuous dynamic trading ⋮ Multi-period portfolio selection with drawdown control

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
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• A Goal Seeking Investment Model
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• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Minimizing or Maximizing the Expected Time to Reach Zero
• A First Passage Problem for the Wiener Process
• Optimal Growth with Intertemporally Dependent Preferences
• Level-crossing problems for random processes