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 portfolio delegation when parties have different coefficients of risk aversion
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- On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance.
- Conditioned stochastic differential equations: theory, examples and application to finance.
- A stochastic flows approach for asset allocation with hidden economic environment
- On the shape of risk aversion and asset allocation
- Maximizing the utility of consumption with commutable life annuities
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- Investment and consumption without commitment
- ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
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- Optimal investment decisions when time-horizon is uncertain
- An optimal portfolio problem in a defaultable market
- Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints
- Optimal portfolio, consumption and retirement decision under a preference change
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- Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control
- Portfolio optimization under convex incentive schemes
- Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint
- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Portfolio optimization in a regime-switching market with derivatives
- Optimal investment with minimum performance constraints
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- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints
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- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
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- Optimal investment and consumption decision of a family with life insurance
- Optimal lifetime consumption and investment under a drawdown constraint
- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
- Optimal consumption choices for a `large' investor
- Portfolios and risk premia for the long run
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- Dual formulation of the utility maximization problem under transaction costs
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- A comparative study of portfolio insurance.
- The dual optimizer for the growth-optimal portfolio under transaction costs
- On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
- Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
- Risk aversion and allocation to long-term bonds.
- Comparison of optimal portfolios with and without subsistence consumption constraints
- Dynamic asset allocation under VaR constraint with stochastic interest rates
- OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
- Probabilistic aspects of finance
- Optimal investment under relative performance concerns
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- Equilibrium Models With Singular Asset Prices
- STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
- Optimal risk-sharing with effort and project choice
- Portfolio selection: a review
- A dynamic programming approach to constrained portfolios
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- Forward-backward systems for expected utility maximization
- Dynamic consumption and portfolio choice under prospect theory
- A note on optimal investment-consumption-insurance in a Lévy market
- A note on the existence of the power investor's optimizer
- On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis
- Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
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