A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES
From MaRDI portal
Publication:2862512
DOI10.1142/S0219024913500350zbMath1283.91168OpenAlexW2075160594MaRDI QIDQ2862512
Ralf Korn, Frank Thomas Seifried
Publication date: 15 November 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024913500350
Related Items
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Term structure of interest rates: The martingale approach
- Optimum portfolio diversification in a general continuous-time model
- Maxmin expected utility with non-unique prior
- Optimal consumption choices for a `large' investor
- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
- Convex duality in constrained portfolio optimization
- Stochastic discounting
- A complete explicit solution to the log-optimal portfolio problem.
- Liquidity risk and arbitrage pricing theory
- Optimal portfolios for logarithmic utility.
- The numéraire portfolio in semimartingale financial models
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- No Arbitrage and the Growth Optimal Portfolio
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Contingent claim valuation in a market with different interest rates
- Optimal Investments for Robust Utility Functionals in Complete Market Models
- Portfolio Selection with Transaction Costs
