Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk

DOI10.1007/S11579-022-00316-6zbMath1497.91272OpenAlexW4224031685MaRDI QIDQ2155561

Bolorsuvd Batbold, Kentaro Kikuchi, Koji Kusuda

Publication date: 15 July 2022

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-022-00316-6

zbMATH Keywords

analytical solutionportfolio choicenumerical analysisstochastic dynamic control

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS

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