TITLE:
Optimal Portfolio Selection with Delay under the Framework of Uncertainty Theory
AUTHORS:
Jun Long, Sanyun Zeng
KEYWORDS:
Delay, Uncertainty Theory, Equation of Optimality, Optimal Value Function, Optimal Investment Strategy
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.11 No.10,
October
20,
2023
ABSTRACT: This study focuses on investigating the optimal investment strategy for an optimization problem with delay using the uncertainty theory. The financial market is composed of a risk-free asset and a risk asset with an uncertain price process described by an uncertain differential equation. An optimization problem is assumed that its objective is a nonlinear function of decision variable. By deriving the equation of optimality, an analytical solution is obtained for the optimal delay investment strategy, and the optimal delay value function. Finally, an economic analysis and numerical sensitivity analysis are conducted to evaluate the research results.