| Abstract: |
| We present a family of optimal portfolio problems where the wealth is governed by path dependent dynamics. A way to solve such problems is to solve suitable infinite dimensional PDEs (HJB equations). We discuss the main features of such equations, the methods of solve them, and how to recover from them the optimal portfolio policies. We then present some recent and ongoing results on two specific problems:
- portfolio optimization with path dependent labor income;
- portfolio optimization with a path dependent volatilty. |
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