Optimal investment and consumption with stochastic dividends

DOI10.1002/ASMB.823zbMATH Open1226.91071OpenAlexW2068420430MaRDI QIDQ3103178FDOQ3103178

Authors: Xikui Wang, Yan 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

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zbMATH Keywords

Poisson distributionportfolio optimizationBayesian frameworkbandit processes

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• The Bayesian Choice
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• One-armed bandit models with continuous and delayed responses
• An optimal investment and consumption model with stochastic returns
• Bayesian Computation for Nonhomogeneous Poisson Processes in Software Reliability
• On the optimality of the Gittins index rule for multi-armed bandits with multiple plays
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Cited In (7)

• A Bayesian two-armed bandit model
• Optimal learning with non-Gaussian rewards
• OPTIMAL INVESTMENT AND CONSUMPTION WITH STOCHASTIC FACTOR AND DELAY
• An optimal investment and consumption model with stochastic returns
• Title not available (Why is that?)
• Title not available (Why is that?)
• One-armed bandit process with a covariate

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