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@article{Biffis:2020:10.1137/19M1259687,
author = {Biffis, E and Gozzi, F and Prosdocimi, C},
doi = {10.1137/19M1259687},
journal = {SIAM Journal on Control and Optimization},
pages = {1906--1938},
title = {Optimal portfolio choice with path dependent labor income: the infinite horizon case},
url = {http://dx.doi.org/10.1137/19M1259687},
volume = {58},
year = {2020}
}

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TY  - JOUR
AB  - We consider an infinite horizon portfolio problem with borrowing constraints, in which an agentreceives labor income which adjusts to financial market shocks in a path dependent way.  Thispath-dependency is the novelty of the model, and leads to an infinite dimensional stochasticoptimal control problem.  We solve the problem completely,  and find explicitly the optimalcontrols in feedback form.  This is possible because we are able to find an explicit solutionto the associated infinite dimensional Hamilton-Jacobi-Bellman (HJB) equation, even if stateconstraints  are  present.   To  the  best  of  our  knowledge,  this  is  the  first  infinite  dimensionalgeneralization of Merton’s optimal portfolio problem for which explicit solutions can be found.The explicit solution allows us to study the properties of optimal strategies and discuss theirfinancial implications.
AU  - Biffis,E
AU  - Gozzi,F
AU  - Prosdocimi,C
DO  - 10.1137/19M1259687
EP  - 1938
PY  - 2020///
SN  - 0363-0129
SP  - 1906
TI  - Optimal portfolio choice with path dependent labor income: the infinite horizon case
T2  - SIAM Journal on Control and Optimization
UR  - http://dx.doi.org/10.1137/19M1259687
UR  - http://hdl.handle.net/10044/1/79796
VL  - 58
ER  -

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