Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case

DOI10.1137/19M1259687zbMath1451.49031arXiv2002.00201OpenAlexW3004261911MaRDI QIDQ5130029

Cecilia Prosdocimi, Enrico Biffis, Fausto Gozzi

Publication date: 3 November 2020

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.00201

zbMATH Keywords

second order Hamilton-Jacobi-Bellman equations in infinite dimensionverification theorems and optimal feedback controlslife-cycle optimal portfolio with labor incomeoptimal control problems in infinite dimension in state constraintsstochastic functional (delay) differential equationswages with path dependent dynamics (sticky)

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Stochastic functional-differential equations (34K50) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

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Pairs trading under delayed cointegration, A Stochastic Model of Economic Growth in Time-Space, Equilibrium pairs trading under delayed cointegration, Robust Portfolio Choice with Sticky Wages, HJB equations and stochastic control on half-spaces of Hilbert spaces, Health insurance, portfolio choice, and retirement incentives, A pricing formula for delayed claims: appreciating the past to value the future, Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension, Optimal portfolio choice with path dependent benchmarked labor income: a mean field model, Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty

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