Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach

DOI10.1016/J.AMC.2011.12.065zbMath1241.91128OpenAlexW2005117496MaRDI QIDQ428104

Roy Cerqueti, Rosella Castellano

Publication date: 19 June 2012

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11573/1364590

zbMATH Keywords

dynamic programmingMonte Carlo simulationsutility maximizationstochastic control theoryjump-diffusion dynamicsoptimal consumption/investment modelthin stocks

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20)

Related Items (4)

Sustainable management of fossil fuels: a dynamic stochastic optimization approach with jump-diffusion ⋮ A Network Approach to Risk Theory and Portfolio Selection ⋮ Forecasting macroeconomic fundamentals in economic crises ⋮ Mean-variance portfolio selection in presence of infrequently traded stocks

Cites Work

• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Optimal consumption policies in illiquid markets
• Optimum portfolio diversification in a general continuous-time model
• Processes of normal inverse Gaussian type
• Hyperbolic distributions in finance
• Optimal consumption and portfolio selection problem with downside consumption constraints
• Optimal portfolio of low liquid assets with a log-utility function
• A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
• Applied stochastic control of jump diffusions
• The relaxed investor and parameter uncertainty
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs

This page was built for publication: Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach