Timeline for Optimal control / Portoflio optimization: Maximize expected utility of total consumption
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 4, 2016 at 12:48 | vote | accept | Mark | ||
| Jun 4, 2016 at 3:12 | answer | added | Stephan Sturm | timeline score: 2 | |
| Jun 1, 2016 at 10:24 | comment | added | Mark | I guess one possibility would be to reformulate the problem as a stochastic control problem with two state variables (terminal wealth $V^{\pi,c}(T)$ and total consumption $\int_{0}^{T}c(t)dt$) and two control variables (investment $\pi$ and consumption $c$). Maybe the associated HJM equation takes a nice form. | |
| May 31, 2016 at 20:40 | review | First posts | |||
| May 31, 2016 at 21:11 | |||||
| May 31, 2016 at 20:38 | history | asked | Mark | CC BY-SA 3.0 |