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

feedback utility functions martingale representation theorem Feynman-Kac theorem consumption/investment decision problem optimal 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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