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Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case.
Enrico Biffis
Fausto Gozzi
Cecilia Prosdocimi
Published in:
SIAM J. Control. Optim. (2020)
Keyphrases
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infinite horizon
optimal policy
finite horizon
optimal control
dynamic programming
long run
markov decision processes
production planning
single item
stochastic demand
lead time
average cost
decision making
objective function
multi agent