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Portfolio optimization with uncertain exit time in infinite-time horizon. (English) Zbl 1292.91162

Summary: We study infinite-period mean-variance formulations for portfolio selections with an uncertain exit time. We employ the convergence control method together with the dynamic programming algorithm to derive analytical expressions for the optimal portfolio policy and the mean-variance efficient frontier under certain conditions. We illustrate these results by an numerical example.

MSC:

91G10 Portfolio theory
90C39 Dynamic programming
49L20 Dynamic programming in optimal control and differential games
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