Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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- Optimal insurance demand under marked point processes shocks.
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- Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
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- Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
- A benchmarking approach to optimal asset allocation for insurers and pension funds
- Finite time Merton strategy under drawdown constraint: a viscosity solution approach
- Optimal consumption and portfolio choice with borrowing constraints
- Horizon dependence of utility optimizers in incomplete models
- Portfolio optimization under shortfall risk constraint
- Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
- Optimal consumption choice with intolerance for declining standard of living
- Optimal investment and consumption when allowing terminal debt
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- State-Dependent Utility
- Challenges in stochastic programming
- Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
- Non-addictive habits: optimal consumption-portfolio policies.
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
- A note on optimal investment-consumption-insurance in a Lévy market
- Dynamic convex duality in constrained utility maximization
- Optimization of Utility for “Larger Investor” with Anticipation
- An optimal consumption and investment problem with partial information
- Risk averse asymptotics in a Black--Scholes market on a finite time horizon
- State-dependent utilities and incomplete markets
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
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- Effects of a government subsidy and labor flexibility on portfolio selection and retirement
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- Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
- Macroeconomic environment, money demand and portfolio choice
- Convergence of optimal expected utility for a sequence of binomial models
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- Optimal consumption, investment, and life insurance purchase: a state-dependent utilities approach
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- Labor supply flexibility and portfolio selection with early retirement option
- An optimal consumption and investment problem with CES utility and negative wealth constraints
- Optimal management of DB pension fund under both underfunded and overfunded cases
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- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
- Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
- Many-player games of optimal consumption and investment under relative performance criteria
- Logarithmic utility maximization in an exponential Lévy model
- A direct method of optimal portfolio and consumption choice in a security market
- On retirement time decision making
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
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