Continuous-Time Portfolio Selection: A Cursory Survey

Se Yung Bae; Junkee Jeon; Hyeng Keun Koo

doi:10.3389/fams.2020.00004

Frontiers in Applied Mathematics and Statistics (Feb 2020)

Continuous-Time Portfolio Selection: A Cursory Survey

Se Yung Bae,
Junkee Jeon,
Hyeng Keun Koo

Affiliations

Se Yung Bae: Department of Financial Engineering, Ajou University, Suwon-si, South Korea
Junkee Jeon: Department of Applied Mathematics, Kyung Hee University, Seoul, South Korea
Hyeng Keun Koo: Department of Financial Engineering, Ajou University, Suwon-si, South Korea

DOI: https://doi.org/10.3389/fams.2020.00004
Journal volume & issue: Vol. 6

Abstract

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In this article we provide a short survey on continuous-time portfolio selection. We explain the pioneering contribution of Merton and the use of dynamic programming. Then, we discuss Bismut's application of the Pontryagin maximum principle to portfolio selection and the dual martingale approach. We also explain two models with potential applicability to practice: life-cycle models with explicit consideration of retirement and models with protection against decline in spending power.JEL Classification Codes: E21, G11

Published in Frontiers in Applied Mathematics and Statistics

ISSN: 2297-4687 (Online)
Publisher: Frontiers Media S.A.
Country of publisher: Switzerland
LCC subjects: Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods; Science: Mathematics: Probabilities. Mathematical statistics
Website: http://journal.frontiersin.org/journal/applied-mathematics-and-statistics#

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