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...

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...

We consider a multi-stock market model where prices satisfy a stochastic differential equation with instantaneous rates of return modeled as a continuous time Markov chain with finitely many states. Partial observation means that only the prices are observable. For the investor’s objective of...

In the CRR model we introduce a transaction cost structure which covers piecewise proportional, fixed and constant costs. For a general utility function we formulate the problem of maximizing the expected utility of terminal wealth as a Markov control problem. An existence result is given and...

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...