A Stochastic Portfolio Optimization Model with Bounded Memory
Published Online:14 Oct 2011https://doi.org/10.1287/moor.1110.0508
References
- Risk sensitive dynamic asset management. Appl. Math. Optim. (1999) 39(3):337–360Crossref, Google Scholar
- Finite difference approximations for stochastic control systems with delay. Stochastic Anal. Appl. (2008) 26(3):451–470Crossref, Google Scholar
- Finite difference approximation for stochastic optimal stopping problems with delays. J. Indust. Management Optim. (2008) 4(2):227–246Crossref, Google Scholar
- Optimal control of stochastic functional differential equations with a bounded memory. Stochastics (2008) 80(1):69–96Crossref, Google Scholar
- Optimal consumption under partial observations for a stochastic system with delay. (2001) . Preprint 9, December 2001, University of Oslo, Oslo, NorwayGoogle Scholar
- Some solvable stochastic control problems with delay. Stochastics Stochastics Rep. (2000) 71(1):69–89Crossref, Google Scholar
- An optimal consumption model with stochastic volatility. Finance Stochastics (2003) 7(2):245–262Crossref, Google Scholar
- A stochastic control model of investment, production, and consumption. Quart. Appl. Math. (2005) 63(1):71–87Crossref, Google Scholar
- Risk-sensitive control and optimal investment model. Math. Finance (2000) 10(2):197–213Crossref, Google Scholar
- Derivatives in Financial Market with Stochastic Volatility (2000) (Cambridge University Press, UK) Google Scholar
- Optimal control of stochastic systems with aftereffect. Avtomat. i Telemeh (1973) 1:47–61Google Scholar
- Dynamic programming in stochastic control of systems with delay. Stochastics Internat. J. Probab. Stochastic Processes (2002) 74(3–4):651–673Crossref, Google Scholar
- When are HJB equations in stochastic control of delay systems finite dimensional? Stochastic Anal. Appl. (2003) 21(3):643–671Crossref, Google Scholar
- Stochastic Functional Differential Equations (1984) 99(Pitman Publishing, Boston) Research Notes in MathematicsGoogle Scholar
- , Decreusefond L., Gjerde J., Øksendal B., Üstünel A. S. Stochastic differential systems with memory, theory, examples and applications. Stochastic Analysis and Related Topics VI: The Geilo Workshop, 1996 (1998) 42(Birkhäuser, Boston, MA) Progress in ProbabilityCrossref, Google Scholar
- Portfolio optimization models on infinite-time horizon. J. Optim. Theory Appl. (2004) 122(3):573–597Crossref, Google Scholar
- Stochastic portfolio optimization with log utility. Internat. J. Theoret. Appl. Finance (2006) 9(6):869–887Crossref, Google Scholar
- A solution approach to valuation with unhedgeable risks. Finance Stochastics (2001) 5(1):61–82Crossref, Google Scholar

