On investment consumption modeling with jump process extensions for productive sectors

DOI10.1007/S10957-013-0406-5zbMATH Open1336.91064OpenAlexW2082141369MaRDI QIDQ262002FDOQ262002

Authors: Tina Engler, Alfons Balmann 

Publication date: 29 March 2016

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-013-0406-5

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zbMATH Keywords

dynamic programmingPoisson processstochastic optimal controlHARA utilityinvestment consumption model

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• Optimal investment and consumption with transaction costs
• An optimal consumption model with stochastic volatility
• Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
• Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (1)

• Optimal consumption and investment problem with random horizon in a BMAP model

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