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)
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- Optimal retirement time under habit persistence: what makes individuals retire early?
- FBSDE approach to utility portfolio selection in a market with random parameters
- Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- Optimal investment and life insurance strategies under minimum and maximum constraints
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- A martingale approach for asset allocation with derivative security and hidden economic risk
- Further results on asset pricing with incomplete information
- Relative wealth concerns with partial information and heterogeneous priors
- Many-player games of optimal consumption and investment under relative performance criteria
- Health insurance, portfolio choice, and retirement incentives
- \(G\)-forward performance process and representation of homothetic case via ergodic quadratic \(G\)-BSDE
- The importance of dynamic risk constraints for limited liability operators
- Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs
- 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
- Optimal consumption and investment with welfare constraints
- Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
- Utility maximization with habit formation of interaction
- Dynamic Portfolio Optimization with Bounded Shortfall Risks
- Merton portfolio problem with one indivisible asset
- Finite-horizon optimal consumption and investment problem with a preference change
- MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
- On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model
- Bayesian learning for the Markowitz portfolio selection problem
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- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
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- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
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- Optimal investment strategies with bounded risks, general utilities, and goal achieving
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- Consistent utility of investment and consumption: a forward/backward SPDE viewpoint
- Optimal spreading when spreading is optimal
- Optimal management of DB pension fund under both underfunded and overfunded cases
- A long-term optimal consumption and investment problem with partial information
- A model of retirement and consumption-portfolio choice
- Utility maximization via decoupling fields
- Entrepreneurial decisions on effort and project with a nonconcave objective function
- Portfolio optimization under Solvency II
- Macroeconomic environment, money demand and portfolio choice
- Optimal investment strategies with a reallocation constraint
- Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
- Utility maximization under \(g^\ast\)-expectation
- Human capital and portfolio choice: borrowing constraint and reversible retirement
- EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1
- Optimal retirement and portfolio selection with consumption ratcheting
- A two-person zero-sum game approach for a retirement decision with borrowing constraints
- Log-optimal portfolio without NFLVR: existence, complete characterization, and duality
- Monte Carlo computation of optimal portfolios in complete markets
- The optimal mean-variance investment strategy under value-at-risk constraints
- Portfolio management under drawdown constraint in discrete-time financial markets
- Young, timid, and risk takers
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
- Consumption processes and positively homogeneous projection properties
- Finite horizon portfolio selection problems with stochastic borrowing constraints
- Increasing risk aversion and life-cycle investing
- Sensitivity analysis for expected utility maximization in incomplete Brownian market models
- An optimal consumption and investment problem with CES utility and negative wealth constraints
- Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
- An expansion in the model space in the context of utility maximization
- Recursive utility maximization for terminal wealth under partial information
- Cross-sectional asset pricing with heterogeneous preferences and beliefs
- Black's inverse investment problem and forward criteria with consumption
- Annuity and insurance choice under habit formation
- Optimal investment in the development of oil and gas field
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- Optimal dynamic momentum strategies
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- Finite horizon portfolio selection with a negative wealth constraint
- Labor supply flexibility and portfolio selection with early retirement option
- optimal consump0tion of an investment†
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
- Portfolio selection with drawdown constraint on consumption: a generalization model
- Non-transferable non-hedgeable executive stock option pricing
- Portfolio selection with consumption ratcheting
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