CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS (Q5700131): Difference between revisions

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scientific article; zbMATH DE number 2218865

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English	CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS	scientific article; zbMATH DE number 2218865

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instance of

scholarly article

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title

CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS (English)

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27 October 2005

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9965.2005.00250.x

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cites work

A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options

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Optimal consumption and equilibrium prices with portfolio constraints and stochastic income

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Optimal investment strategies in a CIR framework

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Affine processes and applications in finance

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Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case

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Martingale and Duality Methods for Utility Maximization in an Incomplete Market

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The asymptotic elasticity of utility functions and optimal investment in incomplete markets

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Optimum consumption and portfolio rules in a continuous-time model

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Q4842684

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A generalized clark representation formula, with application to optimal portfolios

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Optimal consumption and portfolio selection with stochastic differential utility

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Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.

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Identifiers

zbMATH Open document ID

1138.91432

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DOI

10.1111/j.1467-9965.2005.00250.x

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5700131

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+A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options
+Normal rank
@@ Property / cites work @@
+Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
+Normal rank
@@ Property / cites work @@
+Optimal investment strategies in a CIR framework
@@ Property / cites work: Optimal investment strategies in a CIR framework / rank @@
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
+Normal rank
@@ Property / cites work @@
+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Q4842684
@@ Property / cites work: Q4842684 / rank @@
+Normal rank
@@ Property / cites work @@
+A generalized clark representation formula, with application to optimal portfolios
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio selection with stochastic differential utility
+Normal rank
@@ Property / cites work @@
+Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5700131