Inter-temporal Mutual Fund Management

In this talk, I shall introduce a way to completely resolve the general intertemporal mutual fund (open-end) management problem which has been long missing in the field. Even though the primal HJB equation drastically... [ view full abstract ]

In this talk, I shall introduce a way to completely resolve the general intertemporal mutual fund (open-end) management problem which has been long missing in the field. Even though the primal HJB equation drastically turns into a fully non-linear PDE which can barely be treated by common prevalent approach, we propose a transformation together with a notable extension of existing PDE theory. Interesting financial consequence, especially in contrast to those portfolio management strategies only concerning on the terminal reward, will be discussed.