A note on optimal consumption and investment in a geometric Ornstein-Uhlenbeck market
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Publication:2909820
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Cites work
- A theory of the term structure of interest rates
- Asymptotic arbitrage and large deviations
- CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT‐SALE CONSTRAINTS IN THE FINITE‐DIMENSIONAL CASE: SOME REMARKS
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Large deviations in estimation of an Ornstein-Uhlenbeck model
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
- Utility maximization in models with conditionally independent increments
Cited in
(5)- THE SQUARED ORNSTEIN‐UHLENBECK MARKET
- Optimal consumption and investment for exponential utility function
- Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models
- Unrestricted consumption under a deterministic wealth and an Ornstein-Uhlenbeck process as a discount rate
- Optimal consumption problem in the Vasicek model
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