A Stochastic Portfolio Optimization Model with Bounded Memory

• 成果类型: Article
• 署名作者: Chang, Mou-Hsiung; Pang, Tao; Yang, Yipeng
• 署名单位: North Carolina State University; University of Missouri System; University of Missouri Columbia
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1110.0508
• 发表日期: 2011
• 页码: 604-619
• 关键词: investment; EQUATIONS; systems

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.