Finite horizon portfolio selection problems with stochastic borrowing constraints

DOI10.3934/JIMO.2019132zbMath1474.91177OpenAlexW2982441366MaRDI QIDQ2031369

Junkee Jeon

Publication date: 9 June 2021

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2019132

zbMATH Keywords

variational inequalitystochastic incomemartingale methodoptimal-stopping problemconsumption and investmentstochastic borrowing constraint

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Cites Work

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• Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model
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