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)- A long-term optimal consumption and investment problem with partial information
- A model of retirement and consumption-portfolio choice
- Consumption processes and positively homogeneous projection properties
- Recursive utility optimization with concave coefficients
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- optimal consump0tion of an investment†
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
- OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS
- Futures market equilibrium with heterogeneity and a spot market at harvest
- Optimal investment consumption model with a higher interest rate for borrowing
- Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
- Maximizing banking profit on a random time interval
- Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
- Optimal consumption, investment and life insurance with surrender option guarantee
- Optimal consumption-investment with constraints in a regime switching market with random coefficients
- Log-optimal portfolio without NFLVR: existence, complete characterization, and duality
- MONOTONICITY PROPERTIES OF OPTIMAL INVESTMENT STRATEGIES FOR LOG-BROWNIAN ASSET PRICES
- Horizon effect on optimal retirement decision
- Optimal retirement time under habit persistence: what makes individuals retire early?
- Monte Carlo computation of optimal portfolios in complete markets
- \(G\)-forward performance process and representation of homothetic case via ergodic quadratic \(G\)-BSDE
- A dynamic programming approach to path-dependent constrained portfolios
- A consumption-investment problem modelled as a discounted Markov decision process
- The importance of dynamic risk constraints for limited liability operators
- A greedy algorithm for habit formation under multiplicative utility
- Financial finance
- PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING
- Intertemporal preference with loss aversion: consumption and risk-attitude
- Optimal Consumption‐Portfolio Policies With Habit Formation1
- Optimal consumption and portfolio selection with early retirement option
- Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion
- The value of knowing the market price of risk
- Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs
- MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
- Optimal investment strategies with bounded risks, general utilities, and goal achieving
- Utility maximization under \(g^\ast\)-expectation
- Optimal investment strategies for general utilities under dynamic elasticity of variance models
- Young, timid, and risk takers
- Optimal portfolio strategies benchmarking the stock market
- Further results on asset pricing with incomplete information
- Optimal retirement in a general market environment
- Increasing risk aversion and life-cycle investing
- Efficiency in economic growth models under uncertainty
- Dynamic Portfolio Optimization with Bounded Shortfall Risks
- Relative wealth concerns with partial information and heterogeneous priors
- Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- Human capital and portfolio choice: borrowing constraint and reversible retirement
- Precommitted strategies with initial-time and intermediate-time value-at-risk constraints
- Annuity and insurance choice under habit formation
- Asset and commodity prices with multi-attribute durable goods
- EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1
- Optimal retirement and portfolio selection with consumption ratcheting
- Optimal investment and life insurance strategies under minimum and maximum constraints
- Optimal consumption and arbitrage in incomplete, finite state security markets
- Performance enhancement through portfolio optimization of delayed insider information: an analysis and implementation study
- Optimal consumption and investment with welfare constraints
- Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
- Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach
- A two-person zero-sum game approach for a retirement decision with borrowing constraints
- Some stability results of optimal investment in a simple Lévy market
- Optimal spreading when spreading is optimal
- Optimal investment strategies with a reallocation constraint
- Efficient frontier of utility and CVaR
- Labor supply flexibility and portfolio selection with early retirement option
- Optimal management of DB pension fund under both underfunded and overfunded cases
- 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
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
- Maximizing the utility of consumption with commutable life annuities
- Utility maximization in incomplete markets
- Modeling of financial markets with inside information in continuous time
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- Optimal risk-sharing with effort and project choice
- Comparison of optimal portfolios with and without subsistence consumption constraints
- A class of optimal portfolio liquidation problems with a linear decreasing impact
- Optimal portfolio delegation when parties have different coefficients of risk aversion
- Optimal consumption choices for a `large' investor
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Outperforming the market portfolio with a given probability
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)
