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Under Ac, the submartingale property of vn K with the random initial condition ( τ, ξK:K+1, ξy), the control U leads to E h 1Ac∩{ρ<τ 1}e−β(ρ−τ)vn K(ρ, (XK:K+1, Y )(ρ, τ, ξK:K+1, ξy, U)) + 1Ac∩{ρ≥τ 1}∩{τ 1<TK }e−β(τ 1−τ)vn K(τ 1, ξ1 K:K+1 · 2015

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q-fin.PM 1

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Goal-based portfolio selection with mental accounting

q-fin.PM · 2025-06-07 · unverdicted · novelty 6.0

A continuous-time goal-based portfolio model with mental accounting penalties for inter-goal transfers, where the value function is proven to be the unique constrained viscosity solution to a system of HJB equations via stochastic Perron's method.

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  • Goal-based portfolio selection with mental accounting q-fin.PM · 2025-06-07 · unverdicted · none · ref 14

    A continuous-time goal-based portfolio model with mental accounting penalties for inter-goal transfers, where the value function is proven to be the unique constrained viscosity solution to a system of HJB equations via stochastic Perron's method.