Optimal consumption and portfolio selection with stochastic differential utility

DOI10.1006/jeth.1999.2558zbMath0934.91029MaRDI QIDQ1961363

Mark Schroder, Costis Skiadas

Publication date: 25 April 2000

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jeth.1999.2558

zbMATH Keywords

martingale; stochastic differential utility; consumption plans; portfolio plans; utility gradient

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

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