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Optimal portfolio, consumption and retirement decision under a preference change
Portfolio selection with transaction costs under expected shortfall constraints
Optimal cash management under uncertainty
A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model
Optimal consumption and portfolio policies when asset prices follow a diffusion process
Alternative growth versus security in continuous dynamic trading
Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
Dynamic portfolio choice under asset price lognormality
Optimal proportional reinsurance policies for diffusion models with transaction costs
Infinite-horizon investment consumption model with a nonterminal bankruptcy
Duality and liquidity constraints under uncertainty
Distribution of bankruptcy time in a consumption/portfolio problem
Optimal consumption-wealth relationships derived by consumer intertemporal profit maximisation
Challenges in stochastic programming
Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
Optimal consumption and portfolio choice with borrowing constraints
Hedging in incomplete markets with HARA utility
Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility
Time preference and real investment
Kim and Omberg revisited: the duality approach
An optimal job, consumption/leisure, and investment policy
An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints
A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints
Portfolio selection with subsistence consumption constraints and CARA utility
Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
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
A consumption-investment problem with constraints on minimum and maximum consumption rates
Reversible job-switching opportunities and portfolio selection
The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton's problem.
Numerical schemes for investment models with singular transactions
Optimal risk control and dividend distribution policies for a diffusion model with terminal value
Utility maximization with habit formation of interaction
Optimal consumption and portfolio selection with lower and upper bounds on consumption
Many-player games of optimal consumption and investment under relative performance criteria
Optimal consumption under deterministic income
Optimal investment and consumption decision of a family with life insurance
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation
A stochastic dynamic programming approach based on bounded rationality and application to dynamic portfolio choice
Consumption-investment problem with pathwise ambiguity under logarithmic utility
Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
Optimal investment, consumption and timing of annuity purchase under a preference change
An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: a dynamic programming approach
Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
Optimal consumption and portfolio selection problem with downside consumption constraints
An optimal consumption and investment problem with stochastic hyperbolic discounting
Borrowing constraints, effective flexibility in labor supply, and portfolio selection
The Markov consumption problem
A generalization of Dybvig's result on portfolio selection with intolerance for decline in consumption
Hedging global environment risks: an option based portfolio insurance
A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities
On investment consumption modeling with jump process extensions for productive sectors
A partial history of the early development of continuous-time nonlinear stochastic systems theory
Solution of a class of investment developmental equations
A concise characterization of optimal consumption with logarithmic preferences
Optimal consumption-investment with critical wealth level
scientific article; zbMATH DE number 7344407 (Why is no real title available?)
OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints
Optimal consumption-leisure, portfolio and retirement selection based on \(\alpha\)-maxmin expected CES utility with ambiguity
Consumption/investment problem when the investment opportunity set can be enlarged by information gathering
Voluntary retirement and portfolio selection: dynamic programming approaches
Optimal portfolio positioning within generalized Johnson distributions
A note on optimal expected utility of dividend payments with proportional reinsurance
An optimal consumption problem for general factor models
Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
Utilities bounded below
Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?
Optimal investment, consumption-leisure, insurance and retirement choice
Pension funds with a minimum guarantee: a stochastic control approach
Optimal portfolio and consumption subject to multidimensional economic factors
An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
CARA UTILITY AND OPTIMAL RETIREMENT
Optimal asset allocation for participating contracts with mortality risk under minimum guarantee
A perturbation approach to optimal investment, liability ratio, and dividend strategies
Robust consumption-investment with return ambiguity: a dual approach with volatility ambiguity
Forward utility and market adjustments in relative investment-consumption games of many players
An optimal investment problem with nonsmooth and nonconcave utility over a finite time horizon
Optimal investment with high-watermark fee in a multidimensional jump diffusion model
An optimal consumption and investment problem with partial information
Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy
Optimal asset allocation for participating contracts under the VaR and PI constraint
Optimal consumption and portfolio selection with early retirement option
An optimal consumption and investment problem with CES utility and negative wealth constraints
A stochastic control model of investment, production, and consumption on a finite horizon
Deterministic mean-variance-optimal consumption and investment
Dynamic portfolio selection with nonlinear transaction costs
A stochastic control model of investment, production and consumption
Arbitrage and control problems in finance. A presentation
Special issue: Arbitrage and control problems in finance
An elementary approach to the Merton problem
Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
Effect of labour income on the optimal bankruptcy problem
Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan?
Consumption-portfolio choice with subsistence consumption and risk aversion change at retirement
An optimal consumption problem in finite time with a constraint on the ruin probability

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