Robust optimal consumption-investment strategy with non-exponential discounting
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Publication:2338472
DOI10.3934/jimo.2018147zbMath1438.90188OpenAlexW2892286387WikidataQ128981872 ScholiaQ128981872MaRDI QIDQ2338472
Yan Zeng, Danping Li, Jiaqin Wei
Publication date: 21 November 2019
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2018147
Hamilton-Jacobi-Bellman equationequilibrium strategynon-exponential discountingoptimal consumption-investment problem
Management decision making, including multiple objectives (90B50) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
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