Consumption-portfolio policies: an inverse optimal problem
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Publication:1327364
DOI10.1006/jeth.1994.1016zbMath0803.90042OpenAlexW1991455069MaRDI QIDQ1327364
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
inverse optimal problemconsumption-portfolio policydynamic recoverability problemfinancial markets with continuous trading
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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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