Pages that link to "Item:Q1124508"
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The following pages link to Optimal consumption and portfolio policies when asset prices follow a diffusion process (Q1124508):
Displayed 50 items.
- A stochastic flows approach for asset allocation with hidden economic environment (Q274851) (← links)
- Entrance times of random walks: with applications to pension fund modeling (Q282259) (← links)
- Portfolio optimization in a regime-switching market with derivatives (Q297212) (← links)
- Generalized ordered weighted utility proportional averaging-hyperbolic absolute risk aversion operators and their applications to group decision-making (Q298685) (← links)
- Jump-diffusion international asset allocation (Q300842) (← links)
- Minimum return guarantees, investment caps, and investment flexibility (Q315106) (← links)
- Malliavin method for optimal investment in financial markets with memory (Q317870) (← links)
- Generalized ordered weighted utility averaging-hyperbolic absolute risk aversion operators and their applications to group decision-making (Q319061) (← links)
- Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield (Q322504) (← links)
- Understanding dynamic mean variance asset allocation (Q323338) (← links)
- Optimal management of DC pension plan under loss aversion and value-at-risk constraints (Q344000) (← links)
- A Bayesian approach for optimal reinsurance and investment in a diffusion model (Q383414) (← links)
- Optimal investment, stochastic labor income and retirement (Q426617) (← links)
- State-dependent utilities and incomplete markets (Q459808) (← links)
- A dynamic equilibrium model of imperfectly integrated financial markets (Q472216) (← links)
- A note on the existence of the power investor's optimizer (Q483705) (← links)
- Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption (Q486932) (← links)
- Optimal dynamic asset allocation of pension fund in mortality and salary risks framework (Q495461) (← links)
- Existence of optimal consumption strategies in markets with longevity risk (Q506076) (← links)
- Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals (Q522056) (← links)
- Mean-variance versus expected utility in dynamic investment analysis (Q545521) (← links)
- Comparison of optimal portfolios with and without subsistence consumption constraints (Q603016) (← links)
- A closed-form solution for the continuous-time consumption model with endogenous labor income (Q604679) (← links)
- Dynamic portfolio choice under ambiguity and regime switching mean returns (Q631261) (← links)
- Modeling non-monotone risk aversion using SAHARA utility functions (Q643277) (← links)
- Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints (Q659160) (← links)
- A benchmarking approach to optimal asset allocation for insurers and pension funds (Q659228) (← links)
- Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market (Q659255) (← links)
- Horizon dependence of utility optimizers in incomplete models (Q693036) (← links)
- On the construction of optimal payoffs (Q777925) (← links)
- A variational problem arising in financial economics (Q811312) (← links)
- Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs (Q816360) (← links)
- Investment and consumption without commitment (Q841650) (← links)
- Continuous time one-dimensional asset-pricing models with analytic price-dividend functions (Q847865) (← links)
- The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method (Q857737) (← links)
- Optimal portfolio strategies benchmarking the stock market (Q857954) (← links)
- Portfolio optimization with transaction costs: a two-period mean-variance model (Q889558) (← links)
- Legendre transform-dual solution for investment and consumption problem under the Vasicek model (Q890628) (← links)
- Complete and incomplete financial markets in multi-good economies (Q893422) (← links)
- Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints (Q930981) (← links)
- Stochastic optimal control of DC pension funds (Q931216) (← links)
- Optimal investment and life insurance strategies under minimum and maximum constraints (Q938028) (← links)
- The role of longevity bonds in optimal portfolios (Q939371) (← links)
- Monte Carlo computation of optimal portfolios in complete markets (Q951338) (← links)
- Optimal investment decisions when time-horizon is uncertain (Q952683) (← links)
- Utility maximization under a shortfall risk constraint (Q952687) (← links)
- Optimal portfolio management with American capital guarantee (Q953755) (← links)
- The equilibrium allocation of diffusive and jump risks with heterogeneous agents (Q956451) (← links)
- Optimal investment for a pension fund under inflation risk (Q966427) (← links)
- A note on the integrability of the classical portfolio selection model (Q988735) (← links)