Theory of dynamic portfolio for survival under uncertainty
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Publication:1377484
DOI10.1016/0165-4896(95)00783-IzbMATH Open0886.90038OpenAlexW2168637587MaRDI QIDQ1377484FDOQ1377484
Authors: Santanu Roy 
Publication date: 26 January 1998
Published in: Mathematical Social Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-4896(95)00783-i
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dynamic optimizationdiscrete timeprobability of survivalstationary optimal policiesrisk portfolio choicevariable risk preference
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
- Stochastic optimal control. The discrete time case
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- Discounted Dynamic Programming
- Safety First and the Holding of Assets
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- Linear models of economic survival under production uncertainty
- Optimal principal agent contracts for a class of incentive schemes: A characterization and the rate of approach to efficiency
- RISK‐AVERSION BEHAVIOR IN CONSUMPTION/INVESTMENT PROBLEMS1
- Bankruptcy and expected utility maximization
- Minimizing or Maximizing the Expected Time to Reach Zero
- Evolution, learning, and economic behavior
- Intertemporal borrowing to sustain exogenous consumption standards under uncertainty
- Satisficing
- On some aspects of survival under production uncertainty
Cited In (6)
- Linear models of economic survival under production uncertainty
- Proportional reinsurance and investment in multiple risky assets under borrowing constraint
- Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
- Survival versus profit maximization in a dynamic stochastic experiment
- An Investment Decision Model with the Survival Probability Criterion and its Numerical Solutions: The Finite Horizon Case
- On some aspects of survival under production uncertainty
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