Pages that link to "Item:Q140187"
From MaRDI portal
The following pages link to Optimum consumption and portfolio rules in a continuous-time model (Q140187):
Displaying 50 items.
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts (Q413330) (← links)
- Numerical solution of an optimal investment problem with proportional transaction costs (Q415202) (← links)
- Equilibrium in securities markets with heterogeneous investors and unspanned income risk (Q417617) (← links)
- Utility-based hedging and pricing with a nontraded asset for jump processes (Q424380) (← links)
- Optimal investment, stochastic labor income and retirement (Q426617) (← links)
- Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach (Q428104) (← links)
- Consumption utility-based pricing and timing of the option to invest with partial information (Q431904) (← links)
- Voluntary retirement and portfolio selection: dynamic programming approaches (Q441924) (← links)
- Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem (Q453370) (← links)
- Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
- An optimal execution problem with market impact (Q457189) (← links)
- Investment-consumption with regime-switching discount rates (Q459181) (← links)
- A consumption-investment problem with heterogeneous discounting (Q459384) (← links)
- State-dependent utilities and incomplete markets (Q459808) (← links)
- Analysis of optimal strategies for a competing stock market portfolio model with a polyvariant profit function (Q464874) (← links)
- Some problems for Clark's model. I. Estimating the non-ruin probability for an insurance company (Q465945) (← links)
- Some problems for Clark's model. II. A solution for Merton's portfolio problem (Q465988) (← links)
- Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime? (Q470677) (← links)
- Transaction costs, trading volume, and the liquidity premium (Q471168) (← links)
- Incomplete market dynamics and cross-sectional distributions (Q472201) (← links)
- A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities (Q475326) (← links)
- Strategic asset allocation under a fractional hidden Markov model (Q479173) (← links)
- Portfolio management with stochastic interest rates and inflation ambiguity (Q481372) (← links)
- Pension funds with a minimum guarantee: a stochastic control approach (Q483716) (← links)
- Portfolio optimization with insider's initial information and counterparty risk (Q486930) (← links)
- Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption (Q486932) (← links)
- Optimal investment under transaction costs for an insurer (Q487570) (← links)
- Rationalizing investors' choices (Q492872) (← links)
- Optimal dynamic asset allocation of pension fund in mortality and salary risks framework (Q495461) (← links)
- Existence of optimal consumption strategies in markets with longevity risk (Q506076) (← links)
- Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform (Q506093) (← links)
- Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics (Q508870) (← links)
- A spectral method for an optimal investment problem with transaction costs under potential utility (Q515774) (← links)
- Stability and optimal control for uncertain continuous-time singular systems (Q518897) (← links)
- Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals (Q522056) (← links)
- On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk (Q538323) (← links)
- The regime switching portfolios (Q538326) (← links)
- Constant rebalanced portfolio optimization under nonlinear transaction costs (Q538327) (← links)
- Mean-variance versus expected utility in dynamic investment analysis (Q545521) (← links)
- Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility (Q545562) (← links)
- A theory of bond portfolios (Q558672) (← links)
- A solvable stochastic control problem in hyperbolic three space (Q579213) (← links)
- Comparison of optimal portfolios with and without subsistence consumption constraints (Q603016) (← links)
- Fuzzy optimal control of linear quadratic models (Q604043) (← links)
- A closed-form solution for the continuous-time consumption model with endogenous labor income (Q604679) (← links)
- Portfolio optimization when expected stock returns are determined by exposure to risk (Q605869) (← links)
- On a PDE arising in one-dimensional stochastic control problems (Q607894) (← links)
- Portfolio choice under transitory price impact (Q609848) (← links)
- Utility maximization in models with conditionally independent increments (Q614120) (← links)
- Continuous time mean variance asset allocation: a time-consistent strategy (Q621709) (← links)
