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  1. Journal of Optimization Theory and Applications
  2. Journal of Optimization Theory and Applications : Volume 122
  3. Journal of Optimization Theory and Applications : Volume 122, Issue 3, September 2004
  4. Portfolio Optimization Models on Infinite-Time Horizon
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Journal of Optimization Theory and Applications : Volume 173
Journal of Optimization Theory and Applications : Volume 172
Journal of Optimization Theory and Applications : Volume 171
Journal of Optimization Theory and Applications : Volume 170
Journal of Optimization Theory and Applications : Volume 169
Journal of Optimization Theory and Applications : Volume 168
Journal of Optimization Theory and Applications : Volume 167
Journal of Optimization Theory and Applications : Volume 166
Journal of Optimization Theory and Applications : Volume 165
Journal of Optimization Theory and Applications : Volume 164
Journal of Optimization Theory and Applications : Volume 163
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Journal of Optimization Theory and Applications : Volume 161
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Journal of Optimization Theory and Applications : Volume 125
Journal of Optimization Theory and Applications : Volume 124
Journal of Optimization Theory and Applications : Volume 123
Journal of Optimization Theory and Applications : Volume 122
Journal of Optimization Theory and Applications : Volume 122, Issue 3, September 2004
Nonfragile Robust Controller for Linear Markovian Jumping Parameter Systems with Multiplicative Brownian Disturbance
Forecast Horizon for a Class of Dynamic Games
Asymptotic Properties of Random Multidimensional Assignment Problems
Solvability of Variational Inequality Problems
Second-Order Conditions for Efficiency in Nonsmooth Multiobjective Optimization Problems
Optimal Control via Asynchronous Communication Channels
Portfolio Optimization Models on Infinite-Time Horizon
Optimal Control of Magnetohydrodynamic Equations with State Constraint
Further Results on Global Convergence and Stability of Globally Projected Dynamical Systems
Robust H $_{∞}$ Filtering for a Class of Nonlinear Discrete-Time Markovian Jump Systems
Stabilization of an Elastic Plate with Viscoelastic Boundary Conditions
General Information ( Journal of Optimization Theory and Applications , Volume 122 , Issue 3 )
Author Index to Volume 122
Journal of Optimization Theory and Applications : Volume 122, Issue 2, August 2004
Journal of Optimization Theory and Applications : Volume 122, Issue 1, July 2004
Journal of Optimization Theory and Applications : Volume 121
Journal of Optimization Theory and Applications : Volume 120
Journal of Optimization Theory and Applications : Volume 119
Journal of Optimization Theory and Applications : Volume 118
Journal of Optimization Theory and Applications : Volume 117
Journal of Optimization Theory and Applications : Volume 116
Journal of Optimization Theory and Applications : Volume 115
Journal of Optimization Theory and Applications : Volume 114
Journal of Optimization Theory and Applications : Volume 113
Journal of Optimization Theory and Applications : Volume 112
Journal of Optimization Theory and Applications : Volume 111
Journal of Optimization Theory and Applications : Volume 110
Journal of Optimization Theory and Applications : Volume 109
Journal of Optimization Theory and Applications : Volume 108
Journal of Optimization Theory and Applications : Volume 107
Journal of Optimization Theory and Applications : Volume 106
Journal of Optimization Theory and Applications : Volume 105
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Journal of Optimization Theory and Applications : Volume 103
Journal of Optimization Theory and Applications : Volume 102
Journal of Optimization Theory and Applications : Volume 101
Journal of Optimization Theory and Applications : Volume 100
Journal of Optimization Theory and Applications : Volume 99
Journal of Optimization Theory and Applications : Volume 98
Journal of Optimization Theory and Applications : Volume 97
Journal of Optimization Theory and Applications : Volume 96
Journal of Optimization Theory and Applications : Volume 95
Journal of Optimization Theory and Applications : Volume 94
Journal of Optimization Theory and Applications : Volume 93
Journal of Optimization Theory and Applications : Volume 92

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Portfolio Optimization Models on Infinite-Time Horizon

Content Provider Springer Nature Link
Author Pang, T.
Copyright Year 2004
Abstract A portfolio optimization problem on an infinite-time horizon is considered. Risky asset prices obey a logarithmic Brownian motion and interest rates vary according to an ergodic Markov diffusion process. The goal is to choose optimal investment and consumption policies to maximize the infinite-horizon expected discounted hyperbolic absolute risk aversion (HARA) utility of consumption. The problem is then reduced to a one-dimensional stochastic control problem by virtue of the Girsanov transformation. A dynamic programming principle is used to derive the dynamic programming equation (DPE). The subsolution/supersolution method is used to obtain existence of solutions of the DPE. The solutions are then used to derive the optimal investment and consumption policies. In addition, for a special case, we obtain the results using the viscosity solution method.
Starting Page 573
Ending Page 597
Page Count 25
File Format PDF
ISSN 00223239
Journal Journal of Optimization Theory and Applications
Volume Number 122
Issue Number 3
e-ISSN 15732878
Language English
Publisher Kluwer Academic Publishers-Plenum Publishers
Publisher Date 2004-01-01
Publisher Place New York
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Theory of Computation Applications of Mathematics Optimization Calculus of Variations and Optimal Control Engineering Operation Research/Decision Theory
Content Type Text
Resource Type Article
Subject Applied Mathematics Control and Optimization Management Science and Operations Research
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