An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon

2020 ◽  
Vol 11 (2) ◽  
pp. 411-436
Author(s):  
Chonghu Guan ◽  
Xun Li ◽  
Wenxin Zhou
Keyword(s):  
Finite Time ◽  
Time Horizon ◽  
Optimal Investment ◽  
Investment Problem ◽  
Finite Time Horizon ◽  
Optimal Investment Problem

scholarly journals GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS

2004 ◽  
Vol 07 (05) ◽  
pp. 645-657 ◽  
Author(s):  
ERIK AURELL ◽  
PAOLO MURATORE-GINANNESCHI
Keyword(s):  
Transaction Costs ◽  
Finite Time ◽  
Optimal Strategy ◽  
Time Horizon ◽  
Optimal Strategies ◽  
Optimal Investment ◽  
Market Model ◽  
Time Investment ◽  
Bond Portfolio ◽  
Finite Time Horizon

We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of capital invested in stocks within an interval around an ideal optimal investment. The size of the holding interval is determined by the intensity of the transaction costs and the time horizon.

scholarly journals A Constrained Markovian Diffusion Model for Controlling the Pollution Accumulation

Mathematics ◽  
2021 ◽  
Vol 9 (13) ◽  
pp. 1466
Author(s):  
Beatris Adriana Escobedo-Trujillo ◽  
José Daniel López-Barrientos ◽  
Javier Garrido-Meléndez
Keyword(s):  
Dynamic Programming ◽  
Dirichlet Problem ◽  
Stochastic Control ◽  
Finite Time ◽  
Time Horizon ◽  
Closed Loop ◽  
Programming Techniques ◽  
Pollution Accumulation ◽  
Finite Time Horizon ◽  
The Cost

This work presents a study of a finite-time horizon stochastic control problem with restrictions on both the reward and the cost functions. To this end, it uses standard dynamic programming techniques, and an extension of the classic Lagrange multipliers approach. The coefficients considered here are supposed to be unbounded, and the obtained strategies are of non-stationary closed-loop type. The driving thread of the paper is a sequence of examples on a pollution accumulation model, which is used for the purpose of showing three algorithms for the purpose of replicating the results. There, the reader can find a result on the interchangeability of limits in a Dirichlet problem.

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