An optimal investment/consumption problem with higher borrowing rate
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Publication:1387523
DOI10.1007/s11766-998-0010-xzbMath0914.90027OpenAlexW2035221079MaRDI QIDQ1387523
Wensheng Xu, Xiong-wei Wu, Shu-ping Chen
Publication date: 7 June 1998
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-998-0010-x
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Cites Work
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- Optimum consumption and portfolio rules in a continuous-time model
- Pontryagin maximum principle for semilinear second order elliptic partial differential equations and variational inequalities with state constraints
- A direct method in optimal portfolio and consumption choice
- Optimization Problems in the Theory of Continuous Trading
- Optimal consumption/portfolio choice with borrowing rate higher than deposit rate
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