Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach (Q428104): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6047699
@@ Property / zbMATH DE Number: 6047699 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal consumption/investment model
@@ Property / zbMATH Keywords: optimal consumption/investment model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+utility maximization
@@ Property / zbMATH Keywords: utility maximization / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+thin stocks
@@ Property / zbMATH Keywords: thin stocks / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic control theory
@@ Property / zbMATH Keywords: stochastic control theory / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+dynamic programming
@@ Property / zbMATH Keywords: dynamic programming / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump-diffusion dynamics
@@ Property / zbMATH Keywords: jump-diffusion dynamics / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Monte Carlo simulations
@@ Property / zbMATH Keywords: Monte Carlo simulations / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2005117496
@@ Property / OpenAlex ID: W2005117496 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum portfolio diversification in a general continuous-time model
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal consumption policies in illiquid markets
@@ Property / cites work: Optimal consumption policies in illiquid markets / rank @@
+Normal rank
@@ Property / cites work @@
+Q2738734
@@ Property / cites work: Q2738734 / rank @@
+Normal rank
@@ Property / cites work @@
+Hyperbolic distributions in finance
@@ Property / cites work: Hyperbolic distributions in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Optimal portfolio of low liquid assets with a log-utility function
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
+Normal rank
@@ Property / cites work @@
+The relaxed investor and parameter uncertainty
@@ Property / cites work: The relaxed investor and parameter uncertainty / rank @@
+Normal rank
@@ Property / cites work @@
+Q4550917
@@ Property / cites work: Q4550917 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio selection problem with downside consumption constraints
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:428104