随机控制
数学优化
文件夹
数学
投资组合优化
有界函数
随机投资模型
最优化问题
数理经济学
随机优化
随机建模
资产配置
控制(管理)
计算机科学
最优控制
经济
财务
统计
数学分析
人工智能
作者
Mou-Hsiung Chang,Tao Pang,Yipeng Yang
标识
DOI:10.1287/moor.1110.0508
摘要
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.
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