On investment consumption modeling with jump process extensions for productive sectors

DOI10.1007/S10957-013-0406-5MaRDI QIDQ262002zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 4010171 (Why is no real title available?)
• scientific article; zbMATH DE number 3450674 (Why is no real title available?)
• An optimal consumption model with stochastic volatility
• Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy
• Optimal investment and consumption with transaction costs
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints

Cited in

(1)

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

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