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Title: Some results on a portfolio optimization problem with delays Authors:  Sheng-Jhih Wu - Soochow University (China) [presenting]
Abstract: A Merton type investment-consumption problem is considered in which the dynamics of the risky asset depends on its own past. The problem is formulated as a stochastic control problem with certain types of delays in the state system. The objective is to choose trading and consumption strategies so that the expected discounted utility is maximized. We first derive solutions to the associated Hamilton-Jacobi-Bellman equations under some frequently used utility functions in the literature. We then establish verification theorems and derive the optimal trading and consumption strategies.