On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk (Q538323): Difference between revisions

@@ Property / author @@
-Kamimura, Shoji
@@ Property / author: Kamimura, Shoji / rank @@
-Normal rank
@@ Property / author @@
+Kamimura, Shoji
@@ Property / author: Kamimura, Shoji / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+L20
@@ Property / Mathematics Subject Classification ID: 49L20 / rank @@
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@@ Property / zbMATH DE Number @@
+5899521
@@ Property / zbMATH DE Number: 5899521 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal portfolios
@@ Property / zbMATH Keywords: optimal portfolios / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Hamilton-Jacobi-Bellman equation
@@ Property / zbMATH Keywords: Hamilton-Jacobi-Bellman equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic market price of risk
@@ Property / zbMATH Keywords: stochastic market price of risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+verification theorem
@@ Property / zbMATH Keywords: verification theorem / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10690-010-9128-y
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@@ Property / OpenAlex ID @@
+W2020515553
@@ Property / OpenAlex ID: W2020515553 / rank @@
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@@ Property / cites work @@
+Matrix Riccati equations in control and systems theory
+Normal rank
@@ Property / cites work @@
+Q3997913
@@ Property / cites work: Q3997913 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-sensitive dynamic asset management
@@ Property / cites work: Risk-sensitive dynamic asset management / rank @@
+Normal rank
@@ Property / cites work @@
+Risk sensitive asset allocation
@@ Property / cites work: Risk sensitive asset allocation / rank @@
+Normal rank
@@ Property / cites work @@
+Strategic asset allocation
@@ Property / cites work: Strategic asset allocation / rank @@
+Normal rank
@@ Property / cites work @@
+Consumption and Portfolio Decisions when Expected Returns are Time Varying
+Normal rank
@@ Property / cites work @@
+Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients
+Normal rank
@@ Property / cites work @@
+Q4086303
@@ Property / cites work: Q4086303 / rank @@
+Normal rank
@@ Property / cites work @@
+ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
+Normal rank
@@ Property / cites work @@
+Q4522393
@@ Property / cites work: Q4522393 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
+Normal rank
@@ Property / cites work @@
+A solution approach to valuation with unhedgeable risks
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:538323