Optimal portfolio on tracking the expected wealth process with liquidity constraints

DOI10.1016/S0252-9602(11)60249-XzbMath1240.91150OpenAlexW2080393085MaRDI QIDQ655833

Guangming Wang, Kui Luo, Hu, Yijun

Publication date: 27 January 2012

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(11)60249-x

zbMATH Keywords

Lagrange multiplierHJB equationportfolio selectionliquidity constraintswealth tracking

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (3)

Portfolio selection based on a benchmark process with dynamic value-at-risk constraints ⋮ Robust optimal asset-liability management with penalization on ambiguity ⋮ Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics

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