OPTIMAL INVESTMENT OF A LIFE INTEREST

DOI10.1111/J.1467-9965.1995.TB00068.XMaRDI QIDQ3126237zbMATH OpenOpenAlexFDO

Authors S. D. Jacka

Publication date 20 July 1997

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1995.tb00068.x

zbMATH Keywords

geometric Brownian motionlife-tenantNash optimal solutionPareto optimal investment strategiesstochastic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Recommendations

• Two-agent Pareto optimal cooperative investment in general semimartingale model
• Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization
• Multi-agent investment in incomplete markets
• scientific article; zbMATH DE number 177101

Cites work

• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• Martingales and stochastic integrals in the theory of continuous trading
• Optimal Saving and Risk in Continuous Time
• Optimum consumption and portfolio rules in a continuous-time model
• The bargaining problem
• Two-Person Cooperative Games

Cited in

(1)

• Optimal active lifetime investment

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