In a market with partial information we consider the optimal selection of portfolios for utility maximizing investors under joint budget and shortfall risk constraints. The shortfall risk is measured in terms of expected loss. Stock returns satisfy a stochastic differential equation. Under...

Portfolio optimization problems on a finite time horizon under proportional transaction costs are considered. The objective is to maximize the expected utility of the terminal wealth. The ensuing non-smooth time-dependent Hamilton–Jacobi–Bellman equation is solved by regularization and the...