Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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Publication:3787900
DOI10.1137/0325086zbMATH Open0644.93066OpenAlexW2090220594MaRDI QIDQ3787900FDOQ3787900
Authors: Ioannis Karatzas, John P. Lehoczky, Steven Shreve 
Publication date: 1987
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0325086
Recommendations
feedbackutility functionsmartingale representation theoremFeynman-Kac theoremconsumption/investment decision problemoptimal portfolio and consumption rules
Management decision making, including multiple objectives (90B50) Optimality conditions for problems involving randomness (49K45) Martingales with continuous parameter (60G44) Economic growth models (91B62) Optimal stochastic control (93E20)
Cited In (only showing first 100 items - show all)
- Non-addictive habits: optimal consumption-portfolio policies.
- Forward-backward systems for expected utility maximization
- Dynamic consumption and portfolio choice under prospect theory
- A note on optimal investment-consumption-insurance in a Lévy market
- A note on the existence of the power investor's optimizer
- On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis
- Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
- Horizon dependence of utility optimizers in incomplete models
- Maximizing the probability of a perfect hedge
- On equilibrium prices in continuous time
- Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
- State-Dependent Utility
- Modeling non-monotone risk aversion using SAHARA utility functions
- Optimal longevity risk transfer and investment strategies
- Asymptotic arbitrage and large deviations
- Optimal portfolios for logarithmic utility.
- The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
- Portfolio optimization in a default model under full/partial information
- An optimal consumption and investment problem with partial information
- Computation of optimal portfolios using simulation-based dimension reduction
- The equilibrium allocation of diffusive and jump risks with heterogeneous agents
- CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
- The asset allocation puzzle is still a puzzle
- Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing
- Challenges in stochastic programming
- CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS
- Option Pricing Under Incompleteness and Stochastic Volatility
- MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
- Finite time Merton strategy under drawdown constraint: a viscosity solution approach
- A Note On Utility Maximization Under Partial Observations1
- On trees and logs
- A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
- Optimal investment, consumption and retirement decision with disutility and borrowing constraints
- Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
- Optimal consumption and portfolio choice with borrowing constraints
- Dynamic asset liability management with tolerance for limited shortfalls
- Linked recursive preferences and optimality
- Optimal investment-consumption and life insurance with capital constraints
- State-dependent utilities and incomplete markets
- Portfolio and consumption decisions with the consumption habit constraints
- Pricing and hedging of american contingent claims in incomplete markets
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- Duality for optimal consumption under no unbounded profit with bounded risk
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- A dynamic equilibrium model of imperfectly integrated financial markets
- Effects of financial innovations on market volatility when beliefs are heterogeneous
- Portfolio optimization under shortfall risk constraint
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- Optimal consumption choice with intolerance for declining standard of living
- DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
- Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
- Risk averse asymptotics in a Black--Scholes market on a finite time horizon
- Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints
- On the construction of optimal payoffs
- Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
- Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1
- Consumption and portfolio turnpike theorems in a continuous-time finance model
- Anticipative portfolio optimization under constraints and a higher interest rate for borrowing
- Optimal debt ratio and consumption strategies in financial crisis
- Optimization of Utility for “Larger Investor” with Anticipation
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- Equilibrium asset prices and exchange rates
- A benchmarking approach to optimal asset allocation for insurers and pension funds
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
- Optimal consumption/investment and retirement with necessities and luxuries
- A note on the quantile formulation
- On utility maximization under model uncertainty in discrete‐time markets
- Utility maximization with a stochastic clock and an unbounded random endowment
- Special issue: Arbitrage and control problems in finance
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Dynamic convex duality in constrained utility maximization
- Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints
- Title not available (Why is that?)
- Optimal investment with deferred capital gains taxes
- Utility maximization under a shortfall risk constraint
- Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
- Optimal investment and consumption when allowing terminal debt
- A stochastic control model for the average price of manufacturer sales on commodity exchanges
- An optimal investment problem with nonsmooth and nonconcave utility over a finite time horizon
- Optimal consumption, investment, and life insurance purchase: a state-dependent utilities approach
- Optimal consumption, investment and life insurance with surrender option guarantee
- Optimal retirement time under habit persistence: what makes individuals retire early?
- FBSDE approach to utility portfolio selection in a market with random parameters
- Optimal investment and life insurance strategies under minimum and maximum constraints
- Title not available (Why is that?)
- Title not available (Why is that?)
- Further results on asset pricing with incomplete information
- Optimal consumption-investment under partial information in conditionally log-Gaussian models
- Optimal job switching and retirement decision
- Optimal investment in an illiquid market with search frictions and transaction costs
- Convergence of optimal expected utility for a sequence of binomial models
- An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio
- Many-player games of optimal consumption and investment under relative performance criteria
- Health insurance, portfolio choice, and retirement incentives
- Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs
- A stochastic dynamic programming approach based on bounded rationality and application to dynamic portfolio choice
- Some stability results of optimal investment in a simple Lévy market
- Futures market equilibrium with heterogeneity and a spot market at harvest
- Optimal investment consumption model with a higher interest rate for borrowing
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