Optimal consumption and investment for exponential utility function

MaRDI QIDQ5350569zbMATH OpenFDO

Authors Zohra Tahraoui, F. Belarbi

Publication date 1 September 2017

zbMATH Keywords

consumptionconvex dualityexponential utilityportfolio optimization

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Portfolio theory (91G10)

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(2)

• Legendre transform-dual solution for a class of investment and consumption problems with HARA utility
• Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions

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