Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
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Publication:2485813
DOI10.1016/j.spa.2004.08.001zbMath1114.91056OpenAlexW3123700451MaRDI QIDQ2485813
Publication date: 5 August 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2004.08.001
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (12)
A maximum principle for general backward stochastic differential equation ⋮ Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty ⋮ OPTIMAL PORTFOLIO CONSTRUCTION UNDER PARTIAL INFORMATION FOR A BALANCED FUND ⋮ Consumption-portfolio optimization with recursive utility in incomplete markets ⋮ Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints ⋮ Nonrecursive separation of risk and time preferences ⋮ Optimal consumption and investment with Epstein-Zin recursive utility ⋮ Forward dynamic utility functions: a new model and new results ⋮ Life insurance decisions under recursive utility ⋮ LINKED RECURSIVE PREFERENCES AND OPTIMALITY ⋮ OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION ⋮ Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
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