Optimal investment and consumption with labor income in incomplete markets
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Publication:2192739
DOI10.1214/19-AAP1514zbMath1447.91162arXiv1806.05901OpenAlexW3033857830MaRDI QIDQ2192739
Publication date: 17 August 2020
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.05901
duality theoryutility maximizationlabor incomeoptional supermartingale deflatorsemimartingale incomplete market
Related Items (3)
Competition in Fund Management and Forward Relative Performance Criteria ⋮ Optimal Investment with Time-Varying Stochastic Endowments ⋮ Duality for optimal consumption with randomly terminating income
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