Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market.
Weiwei ShenJuliang YinPublished in: RAIRO Oper. Res. (2023)
Keyphrases
- investment decisions
- investment strategies
- optimal portfolio
- asset allocation
- stock market
- portfolio selection
- optimal capacity
- stock price
- optimal strategy
- decision making
- portfolio management
- financial markets
- key factors
- financial data
- stock exchange
- portfolio optimization
- expected utility
- dynamic programming
- stochastic dynamic programming
- factor analysis
- market clearing
- optimal solution
- strategic decisions
- competitive market
- trading strategies
- worst case
- expected cost