Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

DOI10.1137/0325086zbMath0644.93066OpenAlexW2090220594MaRDI QIDQ3787900

John P. Lehoczky, Ioannis Karatzas, Steven E. Shreve

Publication date: 1987

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0325086

zbMATH Keywords

feedbackutility functionsmartingale representation theoremFeynman-Kac theoremconsumption/investment decision problemoptimal portfolio and consumption rules

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Economic growth models (91B62) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Optimality conditions for problems involving randomness (49K45)

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