Yipeng, Yang2020-04-242020-04-242011Mou-Hsiung Chang, Tao Pang and Yipeng Yang, A Stochastic Portfolio Optimization Model with Bounded Memory, Mathematics of Operations Research, 36 i4(11) 604-619, 2011https://hdl.handle.net/10657.1/2291This 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.Portfolio optimization, Hamilton–Jacobi–Bellman equation, dynamic programming, stochastic delay equationArticle