A Stochastic Portfolio Optimization Model with Bounded Memory
Date
2011
Authors
Yipeng, Yang
Journal Title
Journal ISSN
Volume Title
Publisher
Mathematics of Operations Research
Abstract
This paper considers a portfolio management problem of Merton's type in which the risky asset return is related to the return history. The problem is modeled by a stochastic system with delay. The investor's goal is to choose the investment control as well as the consumption control to maximize his total expected, discounted utility. Under certain situations, we derive the explicit solutions in a finite dimensional space.
Description
Keywords
Portfolio optimization, Hamilton–Jacobi–Bellman equation, dynamic programming, stochastic delay equation
Citation
Mou-Hsiung Chang, Tao Pang and Yipeng Yang, A Stochastic Portfolio Optimization Model with Bounded Memory, Mathematics of Operations Research, 36 i4(11) 604-619, 2011