Optimal Investment with Time-Varying Stochastic Endowments.

Christoph Belak An Chen Carla Mereu Robert Stelzer

Published in: SIAM J. Financial Math. (2022)

Keyphrases

optimal solution
decision making
monte carlo
optimal strategy
optimal design
stochastic dynamic programming
case study
objective function
hidden markov models
optimal control
expected cost
state dependent