Finite horizon portfolio selection with durable goods.

Junkee Jeon Hyeng Keun Koo Kyunghyun Park

Published in: Math. Soc. Sci. (2021)

Keyphrases

portfolio selection
finite horizon
infinite horizon
optimal policy
markov decision processes
multistage
financial markets
markov decision process
robust optimization
dynamic programming
optimal portfolio
multiple objectives
optimal control
average cost
control policies
state space