Preprint
Oct 2026
Optimal Investment to Reach a Financial Goal: A Stochastic Control Framework
We develop a framework for an investor who trades until she either reaches a financial goal or an exogenous deadline arrives. Analogous to utility functions over wealth, we measure satisfaction with the timing of reaching a goal by a discount function. For a continuous-time market where a stochastic factor drives the d...
Ge-Chun Liang, M. Strub, Yu-Wei Wang et al.
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