Anticipative portfolio optimization under constraints and a higher interest rate for borrowing

DOI10.1081/SAP-120003437zbMath1012.91021OpenAlexW2085071536MaRDI QIDQ4542189

Rangquan Wu, Weiyin Fei

Publication date: 17 June 2003

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120003437

zbMATH Keywords

optimizationstochastic processesportfolio selectionfinancial mathematicsIwerting

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Portfolio theory (91G10)

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Optimal consumption-leisure, portfolio and retirement selection based on \(\alpha\)-maxmin expected CES utility with ambiguity ⋮ Optimal consumption and portfolio choice with ambiguity and anticipation ⋮ Optimal consumption and portfolio under inflation and Markovian switching ⋮ Optimal Control of Uncertain Stochastic Systems with Markovian Switching and Its Applications to Portfolio Decisions ⋮ Optimal Portfolio Choice Based on α-MEU Under Ambiguity

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