Consumption-portfolio optimization with recursive utility in incomplete markets
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Publication:1936832
DOI10.1007/s00780-012-0184-1zbMath1257.91042OpenAlexW3125005772MaRDI QIDQ1936832
Holger Kraft, Mogens Steffensen, Frank Thomas Seifried
Publication date: 7 February 2013
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-012-0184-1
stochastic volatilityrecursive utilityCampbell-Shiller approximationconsumption-portfolio optimizationstochastic control approachunspanned state process
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