In this talk I will review some work carried out in the context of portfolio choice problems with path-dependent dynamics for relevant state variables. Examples include optimal asset allocation with sticky wages, asset-liability management for pension plans and net zero alignment for financed emissions.
Links to works:
- Optimal Portfolio Choice With Path-Dependent Labor Income: Finite Retirement Time
- Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case
- A Pricing Formula for Delayed Claims: Appreciating the Past to Value the Future