Continuous-Time Portfolio Selection: A Cursory Survey

Continuous-Time Portfolio Selection: A Cursory Survey

In this article we provide a short survey on continuous-time portfolio selection. We explain the pioneering contribution of Merton and the use of dynamic programming. Then, we discuss Bismut's application of the Pontryagin maximum principle to portfolio selection and the dual martingale approac...

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Bibliographic Details
Main Authors: Se Yung Bae, Junkee Jeon, Hyeng Keun Koo
Format: Article
Language:English
Published: Frontiers Media S.A. 2020-02-01
Series:Frontiers in Applied Mathematics and Statistics
Subjects:
portfolio selection
dynamic programming
maximum principle
dual martingale approach
retirement
protection of spending power
Online Access:https://www.frontiersin.org/article/10.3389/fams.2020.00004/full

Internet

https://www.frontiersin.org/article/10.3389/fams.2020.00004/full

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