Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints

DOI10.1016/S0165-1889(99)00019-6zbMath0951.90052MaRDI QIDQ1575404

N. Delaunay

Publication date: 21 August 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

portfolio choice; optimal consumption; stochastic control problem; Markov chain approximation method

Mathematics Subject Classification ID

91B70: Stochastic models in economics

90C40: Markov and semi-Markov decision processes

91G10: Portfolio theory

Cites Work

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