scientific article; zbMATH DE number 4010171
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Publication:3760262
zbMATH Open0622.90018MaRDI QIDQ3760262FDOQ3760262
Authors: Ioannis Karatzas, John P. Lehoczky, Suresh P. Sethi, Steven Shreve 
Publication date: 1986
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- A partial history of the early development of continuous-time nonlinear stochastic systems theory
- On investment consumption modeling with jump process extensions for productive sectors
- An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints
- An optimal consumption problem in finite time with a constraint on the ruin probability
- Optimal consumption-leisure, portfolio and retirement selection based on \(\alpha\)-maxmin expected CES utility with ambiguity
- Voluntary retirement and portfolio selection: dynamic programming approaches
- Optimal consumption and portfolio selection problem with downside consumption constraints
- Optimal consumption and portfolio selection with early retirement option
- Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility
- Borrowing constraints, effective flexibility in labor supply, and portfolio selection
- A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model
- Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints
- Optimal portfolio, consumption and retirement decision under a preference change
- Portfolio selection with transaction costs under expected shortfall constraints
- Portfolio selection with subsistence consumption constraints and CARA utility
- An optimal consumption and investment problem with partial information
- Optimal consumption and portfolio selection with lower and upper bounds on consumption
- A note on optimal expected utility of dividend payments with proportional reinsurance
- Consumption/investment problem when the investment opportunity set can be enlarged by information gathering
- OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
- Challenges in stochastic programming
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Alternative growth versus security in continuous dynamic trading
- A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints
- An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints
- Dynamic portfolio choice under asset price lognormality
- Optimal consumption-investment with critical wealth level
- Pension funds with a minimum guarantee: a stochastic control approach
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- Hedging in incomplete markets with HARA utility
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- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
- Kim and Omberg revisited: the duality approach
- An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: a dynamic programming approach
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- Consumption-portfolio choice with subsistence consumption and risk aversion change at retirement
- Optimal proportional reinsurance policies for diffusion models with transaction costs
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- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
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- Special issue: Arbitrage and control problems in finance
- An optimal job, consumption/leisure, and investment policy
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- Solution of a class of investment developmental equations
- Consumption-investment problem with pathwise ambiguity under logarithmic utility
- Utility maximization with habit formation of interaction
- The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton's problem.
- Optimal asset allocation for participating contracts with mortality risk under minimum guarantee
- Forward utility and market adjustments in relative investment-consumption games of many players
- Optimal portfolio positioning within generalized Johnson distributions
- Hedging global environment risks: an option based portfolio insurance
- Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
- Optimal investment with high-watermark fee in a multidimensional jump diffusion model
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- On the optimality of path-dependent structured funds: the cost of standardization
- Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation
- A consumption-investment problem with constraints on minimum and maximum consumption rates
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- Reversible job-switching opportunities and portfolio selection
- A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities
- An optimal consumption and investment problem with CES utility and negative wealth constraints
- Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
- CARA UTILITY AND OPTIMAL RETIREMENT
- An optimal consumption and investment problem with stochastic hyperbolic discounting
- An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
- Robust consumption-investment with return ambiguity: a dual approach with volatility ambiguity
- An optimal consumption problem for general factor models
- Arbitrage and control problems in finance. A presentation
- Optimal portfolio and consumption subject to multidimensional economic factors
- An optimal investment problem with nonsmooth and nonconcave utility over a finite time horizon
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- An elementary approach to the Merton problem
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
- Optimal asset allocation for participating contracts under the VaR and PI constraint
- Many-player games of optimal consumption and investment under relative performance criteria
- A stochastic control model of investment, production, and consumption on a finite horizon
- Effect of labour income on the optimal bankruptcy problem
- A stochastic dynamic programming approach based on bounded rationality and application to dynamic portfolio choice
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