Optimal consumption and portfolio policies when asset prices follow a diffusion process

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DOI10.1016/0022-0531(89)90067-7zbMath0678.90011OpenAlexW1963901383MaRDI QIDQ1124508

John C. Cox, Chi-fu Huang

Publication date: 1989

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/2181

zbMATH Keywords

uncertainty geometric Brownian motion continuous time continuous-time linear partial differential equation martingale technique consumption-portfolio problem hyperbolic absolute risk aversion utility functions

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Diffusion processes (60J60) Portfolio theory (91G10)

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