Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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- Recursive utility maximization for terminal wealth under partial information
- A dynamic programming approach to path-dependent constrained portfolios
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- Remarks on optimal strategies to utility maximizations in continuous time incomplete markets
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- Maximum principle for stochastic control of SDEs with measurable drifts
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- Further results on asset pricing with incomplete information
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- Optimal retirement in a general market environment
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- Consumption in incomplete markets
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- Optimal consumption problems in discontinuous markets
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- Asset and commodity prices with multi-attribute durable goods
- Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization
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- Optimal job switching and retirement decision
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