Article ID: | iaor201111564 |
Volume: | 36 |
Issue: | 4 |
Start Page Number: | 604 |
End Page Number: | 619 |
Publication Date: | Nov 2011 |
Journal: | Mathematics of Operations Research |
Authors: | Chang Mou-Hsiung, Pang Tao, Yang Yipeng |
Keywords: | portfolio management |
This paper considers a portfolio management problem of Merton's type in which the risky asset return is related to the return history. The problem is modeled by a stochastic system with delay. The investor's goal is to choose the investment control as well as the consumption control to maximize his total expected, discounted utility. Under certain situations, we derive the explicit solutions in a finite dimensional space.