Optimal consumption and portfolio selection with stochastic differential utility (Q1961363): Difference between revisions

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+Backward-forward stochastic differential equations
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+Consumption and Portfolio Decisions when Expected Returns are Time Varying
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+Optimal consumption and portfolio policies when asset prices follow a diffusion process
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
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+PDE solutions of stochastic differential utility
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+Black's consol rate conjecture
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+Backward Stochastic Differential Equations in Finance
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+Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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+Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
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+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
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+Optimum consumption and portfolio rules in a continuous-time model
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+Adapted solution of a backward stochastic differential equation
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+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
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+Optimal consumption and portfolio selection with stochastic differential utility
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+Recursive utility and preferences for information
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+Portfolio choice with non-expected utility in continuous time
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