Optimal investment and consumption when allowing terminal debt
From MaRDI portal
Publication:1698925
DOI10.1016/j.ejor.2016.09.012zbMath1380.91144OpenAlexW3121269786MaRDI QIDQ1698925
Publication date: 16 February 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11245.1/7ac0bce6-539f-4f37-a13e-4768c95344c3
Related Items
Constrained non-concave utility maximization: an application to life insurance contracts with guarantees, Health insurance, portfolio choice, and retirement incentives, On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging, Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach, Near-optimal asset allocation in financial markets with trading constraints, Pandemic portfolio choice, Mean-variance portfolio selection with non-negative state-dependent risk aversion, Household consumption-investment-insurance decisions with uncertain income and market ambiguity
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Modeling non-monotone risk aversion using SAHARA utility functions
- Lifetime consumption and investment: retirement and constrained borrowing
- Consumption and portfolio rules for time-inconsistent investors
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Advances in prospect theory: cumulative representation of uncertainty
- Labor income, borrowing constraints, and equilibrium asset prices
- Horizon length and portfolio risk
- An index of loss aversion
- Stochastic Interest Rates and the Bond-Stock Mix
- PORTFOLIO CHOICE VIA QUANTILES
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- On Worst-Case Portfolio Optimization
- Portfolio Choice under Space-Time Monotone Performance Criteria
- Portfolio choice under dynamic investment performance criteria
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Dynamic preferences for popular investment strategies in pension funds
- Contingent claim valuation in a market with different interest rates
- On the Concavity of the Consumption Function
- Optimal Housing, Consumption, and Investment Decisions over the Life Cycle
- Portfolio Selection with Transaction Costs
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME