scientific article; zbMATH DE number 4207185

MaRDI QIDQ3354429zbMATH OpenFDO

Authors Lucien Foldes

Publication date 1990

zbMATH Keywords

continuous timegeneral semimartingaleindependent incrementsoptimal accumulation of capitalportfolio choice over an infinite horizon

Mathematics Subject Classification ID

Economic growth models (91B62)

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Cited in

(10)

• Portfolio theory for the recourse certainty equivalent maximizing investor
• A continuous-time portfolio turnpike theorem
• A free-model characterization of the asymptotic certainty equivalent by the Arrow-Pratt index
• Minimal entropy preserves the Lévy property: how and why
• Optimal portfolio and certainty equivalence estimator for the appreciation rate
• Continuous-time (Ross-type) portfolio separation, (almost) without Itô calculus
• CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS
• Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
• Optimal Sure Portfolio Plans
• First Order Certainty Equivalence

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