Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
From MaRDI portal
Publication:3787900
Recommendations
Cited in
(only showing first 100 items - show all)- Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints
- Modeling non-monotone risk aversion using SAHARA utility functions
- Dynamic asset liability management with tolerance for limited shortfalls
- Optimal payoffs under state-dependent preferences
- Optimal portfolio for a small investor in a market model with discontinuous prices
- A note on the existence of the power investor's optimizer
- A dynamic equilibrium model of imperfectly integrated financial markets
- Computation of optimal portfolios using simulation-based dimension reduction
- Optimal debt ratio and consumption strategies in financial crisis
- Optimal insurance demand under marked point processes shocks.
- The equilibrium allocation of diffusive and jump risks with heterogeneous agents
- Maximizing the probability of a perfect hedge
- CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS
- On equilibrium prices in continuous time
- On the construction of optimal payoffs
- Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints
- Effects of financial innovations on market volatility when beliefs are heterogeneous
- Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
- Portfolio and consumption decisions with the consumption habit constraints
- CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
- Utility maximization with a stochastic clock and an unbounded random endowment
- Linked recursive preferences and optimality
- Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
- A note on the quantile formulation
- scientific article; zbMATH DE number 4104661 (Why is no real title available?)
- Special issue: Arbitrage and control problems in finance
- A Note On Utility Maximization Under Partial Observations1
- Optimal longevity risk transfer and investment strategies
- Pricing and hedging of american contingent claims in incomplete markets
- Option Pricing Under Incompleteness and Stochastic Volatility
- On utility maximization under model uncertainty in discrete‐time markets
- Optimal portfolios for logarithmic utility.
- MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
- The asset allocation puzzle is still a puzzle
- The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
- Forward-backward systems for expected utility maximization
- Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
- Optimal investment, consumption and retirement decision with disutility and borrowing constraints
- DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
- Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1
- Anticipative portfolio optimization under constraints and a higher interest rate for borrowing
- Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
- On trees and logs
- Asymptotic arbitrage and large deviations
- Portfolio optimization in a default model under full/partial information
- Optimal investment with deferred capital gains taxes
- On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem
- Utility maximization under a shortfall risk constraint
- Consumption and portfolio turnpike theorems in a continuous-time finance model
- On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis
- Equilibrium asset prices and exchange rates
- Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing
- Dynamic consumption and portfolio choice under prospect theory
- Optimal investment-consumption and life insurance with capital constraints
- Duality for optimal consumption under no unbounded profit with bounded risk
- 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
- Optimal consumption/investment and retirement with necessities and luxuries
- 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
- STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
- Optimal consumption and portfolio selection with stochastic differential utility
- Optimal consumption and investment under partial information
- Optimal consumption and portfolio policies with an infinite horizon: Existence and convergence
- Optimal investment under partial information
- Optimal trading strategy for an investor: the case of partial information
- A dynamic programming approach to constrained portfolios
- On utility maximization under convex portfolio constraints
- Optimal investment with minimum performance constraints
- A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints
- An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints
- Portfolio selection: a review
- Comparison of insiders' optimal strategies depending on the type of side-information
- A stochastic flows approach for asset allocation with hidden economic environment
- A concise characterization of optimal consumption with logarithmic preferences
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal proportional reinsurance policies for diffusion models with transaction costs
- Optimal investment, stochastic labor income and retirement
- On the shape of risk aversion and asset allocation
- Risk aversion and allocation to long-term bonds.
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Optimal investment and consumption decision of a family with life insurance
This page was built for publication: Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3787900)