Optimal investment and consumption with stochastic dividends

DOI10.1002/asmb.823zbMath1226.91071OpenAlexW2068420430MaRDI QIDQ3103178

Yan Wang, Xikui Wang

Publication date: 26 November 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.823

zbMATH Keywords

Poisson distributionportfolio optimizationbandit processesBayesian framework

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites Work

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• One-armed bandit models with continuous and delayed responses
• On the optimality of the Gittins index rule for multi-armed bandits with multiple plays
• An optimal investment and consumption model with stochastic returns
• Bayesian Computation for Nonhomogeneous Poisson Processes in Software Reliability
• The Bayesian Choice

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