Optimal investment strategies with a reallocation constraint

DOI10.1007/s00186-010-0306-5zbMath1196.49003OpenAlexW2077472541WikidataQ57635922 ScholiaQ57635922MaRDI QIDQ992044

Feyzullah Egriboyun, Halil Mete Soner

Publication date: 8 September 2010

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-010-0306-5

zbMATH Keywords

dynamic programmingMerton problemreallocation constraint

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Diffusion processes (60J60) Existence theories for optimal control problems involving partial differential equations (49J20) Portfolio theory (91G10)

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