Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments
From MaRDI portal
Publication:4034503
DOI10.1080/17442509208833805zbMath0773.90004OpenAlexW1997170226MaRDI QIDQ4034503
Publication date: 16 May 1993
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509208833805
Economic growth models (91B62) Optimal stochastic control (93E20) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)
Related Items
Optimal Sure Portfolio Plans ⋮ Variance-optimal hedging for processes with stationary independent increments