Portfolio optimization with a prescribed terminal wealth distribution

DOI10.1080/14697688.2021.1967432zbMath1484.91422arXiv2009.12823OpenAlexW3198981551MaRDI QIDQ5068093

Grégoire Loeper, Wei Ning, Nicolas Langrené, Ivan Guo

Publication date: 5 April 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.12823

zbMATH Keywords

Fokker-Planckoptimal mass transportHJBportfolio allocationwealth distribution target

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10) Fokker-Planck equations (35Q84)

Related Items

Optimal control of the Fokker-Planck equation under state constraints in the Wasserstein space, Optimal control of diffusion processes with terminal constraint in law

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