An infinite time horizon portfolio optimization model with delays

DOI10.3934/mcrf.2016018zbMath1348.91259OpenAlexW2531526193WikidataQ57429610 ScholiaQ57429610MaRDI QIDQ338659

Tao Pang, Azmat Hussain

Publication date: 7 November 2016

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2016018

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programmingstochastic controlportfolio optimizationstochastic delay equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (10)

Robust optimal investment problem with delay under Heston's model ⋮ Optimal investment problem with complete memory on an infinite time horizon ⋮ Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market ⋮ Optimal investment mean-field and N-player games with memory effect and relative performance competition ⋮ Optimal investment problem with delay under partial information ⋮ Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market ⋮ Optimal reinsurance and investment strategy with delay in Heston's SV model ⋮ OPTIMAL INVESTMENT AND CONSUMPTION WITH STOCHASTIC FACTOR AND DELAY ⋮ Parameter identification for portfolio optimization with a slow stochastic factor ⋮ Dynamic asset-liability management problem in a continuous-time model with delay

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A stochastic control problem with delay arising in a pension fund model
• Portfolio optimization models on infinite-time horizon
• On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects
• Risk-sensitive dynamic asset management
• An optimal consumption model with stochastic volatility
• Functional Itō calculus and stochastic integral representation of martingales
• Optimal control of stochastic systems with aftereffect
• Optimal control of linear stochastic systems with applications to time lag systems
• Some Solvable Stochastic Control Problems With Delay
• Risk-Sensitive Control and an Optimal Investment Model
• A Stochastic Portfolio Optimization Model with Bounded Memory
• HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, I: Regularity of Viscosity Solutions
• Finite Difference Approximations for Stochastic Control Systems with Delay
• An Application of Stochastic Control Theory to Financial Economics
• Dynamic programming in stochastic control of systems with delay
• When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?
• Optimal control of stochastic functional differential equations with a bounded memory
• A stochastic control model of investment, production and consumption
• STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
• On Feedback Control of Linear Stochastic Systems
• Optimal control of linear stochastic systems described by functional differential equations

This page was built for publication: An infinite time horizon portfolio optimization model with delays