A dynamic programming approach to path-dependent constrained portfolios

Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation

“…Habit formation has been systematically studied in mathematical finance. This concept has been considered as an inertia of the consumption process as a control variable in the economic growth [18], utility maximizing portfolio [19,20], annuities [21], and non-life insurance [22]. Risk assessment of the consumption of exhaustible resources has been modeled considering habit utility as a linear relaxation process [13].…”

Constrained portfolio optimization with discrete variables: An algorithmic method based on dynamic programming

“…Using Bi-level programming and dynamic programming techniques, Chen and Song [14] examined a multi-period portfolio optimization by considering and controlling bankruptcy risk in the financial market. Moreover, some studies have used a dynamic programming approach based on the Hamilton-Jacobi-Bellman equations to examine limited portfolio optimization in the probability or expected size of wealth or consumption [15][16][17][18][19]. Palczewski [20] suggested an efficient numerical algorithm based on Bellman's dynamic programming approach to optimize a dynamic portfolio optimization with transaction costs that depend on different times and scenarios.…”