A Stochastic Portfolio Optimization Model with Bounded Memory

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dc.contributor.authorYipeng, Yang
dc.date.accessioned2020-04-24T17:22:15Z
dc.date.available2020-04-24T17:22:15Z
dc.date.issued2011
dc.description.abstractThis 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.en_US
dc.identifier.citationMou-Hsiung Chang, Tao Pang and Yipeng Yang, A Stochastic Portfolio Optimization Model with Bounded Memory, Mathematics of Operations Research, 36 i4(11) 604-619, 2011en_US
dc.identifier.urihttps://hdl.handle.net/10657.1/2291
dc.publisherMathematics of Operations Researchen_US
dc.subjectPortfolio optimization, Hamilton–Jacobi–Bellman equation, dynamic programming, stochastic delay equationen_US
dc.titleA Stochastic Portfolio Optimization Model with Bounded Memoryen_US
dc.typeArticleen_US

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Yipeng Yang