Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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Publication:3787900
DOI10.1137/0325086zbMath0644.93066OpenAlexW2090220594MaRDI QIDQ3787900
John P. Lehoczky, Ioannis Karatzas, Steven E. 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
feedbackutility functionsmartingale representation theoremFeynman-Kac theoremconsumption/investment decision problemoptimal portfolio and consumption rules
Management decision making, including multiple objectives (90B50) Economic growth models (91B62) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Optimality conditions for problems involving randomness (49K45)
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