A Continuous Time Framework for Sequential Goal-Based Wealth Management
A Continuous Time Framework for Sequential Goal-Based Wealth Management
About this item
Full title
Author / Creator
Publisher
Linthicum: INFORMS
Journal title
Language
English
Formats
Publication information
Publisher
Linthicum: INFORMS
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More information
Scope and Contents
Contents
We develop a continuous time framework for sequential goals-based wealth management. A stochastic factor process drives asset price dynamics and the client’s goal amount and income. We prove the weak dynamic programming principle for the value function of our control problem, which we show to be the unique viscosity solution of the corresponding Ha...
Alternative Titles
Full title
A Continuous Time Framework for Sequential Goal-Based Wealth Management
Authors, Artists and Contributors
Author / Creator
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Primary Identifiers
Record Identifier
TN_cdi_proquest_journals_3134906458
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_3134906458
Other Identifiers
ISSN
0025-1909
E-ISSN
1526-5501
DOI
10.1287/mnsc.2022.02047
