Optimal consumption and portfolio selection with stochastic differential utility
From MaRDI portal
Publication:1961363
DOI10.1006/jeth.1999.2558zbMath0934.91029MaRDI QIDQ1961363
Publication date: 25 April 2000
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jeth.1999.2558
Related Items
Forward-backward stochastic differential equations with mixed initial-terminal conditions, Making mean-variance hedging implementable in a partially observable market, OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION, CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS, Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system, Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty, Stochastic differential utility as the continuous-time limit of recursive utility, Necessary conditions for optimal control of forward-backward stochastic systems with random jumps, Shock elasticities and impulse responses, Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities, Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available, Dynamic portfolio choice under ambiguity and regime switching mean returns, 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010, Robust consumption and portfolio choice for time varying investment opportunities, The dynamics of risk-sensitive allocations, Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS, Term structure of interest rates under recursive preferences in continuous time, Numerical approach to asset pricing models with stochastic differential utility, Well-posedness and regularity of backward stochastic Volterra integral equations, The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility, Affine processes and applications in finance, Efficient consumption set under recursive utility and unknown beliefs., Efficient intertemporal allocations with recursive utility., Generalized stochastic differential utility and preference for information, A dynamic maximum principle for the optimization of recursive utilities under constraints., Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents, Consumption-portfolio optimization with recursive utility in incomplete markets, Optimal consumption and portfolio selection with stochastic differential utility, Portfolio selection: a review, A stochastic programming approach for multi-period portfolio optimization, Robust utility maximization under convex portfolio constraints, Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income, Backward stochastic Volterra integral equations and some related problems, Robust control and model misspecification, Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium, Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences., Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences, AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS, INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES, A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Adapted solution of a backward stochastic differential equation
- A variational problem arising in financial economics
- Portfolio choice with non-expected utility in continuous time
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Martingales and arbitrage in multiperiod securities markets
- Recursive utility and preferences for information
- Backward-forward stochastic differential equations
- Continuous-time security pricing. A utility gradient approach
- Efficient and equilibrium allocations with stochastic differential utility
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Efficient intertemporal allocations with recursive utility.
- PDE solutions of stochastic differential utility
- Hedging options for a large investor and forward-backward SDE's
- Black's consol rate conjecture
- Discounting and optimizing: Capital accumulation problems as variational minmax problems
- Optimal consumption and portfolio selection with stochastic differential utility
- A term structure model with preferences for the timing of resolution of uncertainty
- Numerical methods for forward-backward stochastic differential equations
- Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- The Structure of Preferences and Attitudess towards the Timing of the Resolution of Uncertainty
- Stochastic Differential Utility
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
- Backward Stochastic Differential Equations in Finance
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework