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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- Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
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- optimal consump0tion of an investment†
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
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