Consumption-portfolio policies: an inverse optimal problem

DOI10.1006/jeth.1994.1016zbMath0803.90042OpenAlexW1991455069MaRDI QIDQ1327364

Hua He, Chi-fu Huang

Publication date: 19 June 1994

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

Full work available at URL: http://hdl.handle.net/1721.1/47153

zbMATH Keywords

inverse optimal problemconsumption-portfolio policydynamic recoverability problemfinancial markets with continuous trading

Mathematics Subject Classification ID

Economic growth models (91B62) Consumer behavior, demand theory (91B42) Portfolio theory (91G10)

Related Items (9)

DYNAMIC UTILITY AND RELATED NONLINEAR SPDES DRIVEN BY LÉVY NOISE ⋮ Black's Inverse Investment Problem and Forward Criteria with Consumption ⋮ An inverse optimal problem in discrete-time stochastic control ⋮ Parameter Dependent Optimal Thresholds, Indifference Levels and Inverse Optimal Stopping Problems ⋮ Nonmyopic optimal portfolios in viable markets ⋮ UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES ⋮ Dynamically consistent investment under model uncertainty: the robust forward criteria ⋮ The design of equity-indexed annuities ⋮ On a dynamic adaptation of The Distribution Builder approach to investment decisions

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