Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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(only showing first 100 items - show all)- Portfolio and consumption decisions with the consumption habit constraints
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- Consumption processes and positively homogeneous projection properties
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- Optimal portfolio, consumption and retirement decision under a preference change
- Optimal consumption and investment under partial information
- Optimal consumption choice with intolerance for declining standard of living
- Optimal portfolios: new variations of an old theme
- Investor heterogeneity, asset pricing and volatility dynamics
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal consumption choices for a `large' investor
- Effects of financial innovations on market volatility when beliefs are heterogeneous
- Consumption and portfolio turnpike theorems in a continuous-time finance model
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Efficiency in economic growth models under uncertainty
- Optimal consumption and portfolio policies with an infinite horizon: Existence and convergence
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
- Optimal proportional reinsurance policies for diffusion models with transaction costs
- Optimal spreading when spreading is optimal
- On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis
- Optimal consumption and arbitrage in incomplete, finite state security markets
- Equilibrium asset prices and exchange rates
- Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
- Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
- Asset and commodity prices with multi-attribute durable goods
- Challenges in stochastic programming
- Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
- Optimal consumption and portfolio choice with borrowing constraints
- Optimal investment strategies in the presence of a minimum guarantee.
- Risk aversion and allocation to long-term bonds.
- Non-addictive habits: optimal consumption-portfolio policies.
- A stability result for the HARA class with stochastic interest rates.
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Maximizing the probability of a perfect hedge
- Optimal insurance demand under marked point processes shocks.
- Optimal portfolio policies with borrowing and shortsale constraints
- Futures market equilibrium with heterogeneity and a spot market at harvest
- Optimal investment consumption model with a higher interest rate for borrowing
- A comparative study of portfolio insurance.
- A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
- Sensitivity analysis for expected utility maximization in incomplete Brownian market models
- Cross-sectional asset pricing with heterogeneous preferences and beliefs
- Non-transferable non-hedgeable executive stock option pricing
- Portfolio selection with consumption ratcheting
- Possibilistic individual multi-period consumption-investment models
- On the effects of changing mortality patterns on investment, labour and consumption under uncertainty
- Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
- An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints
- A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
- Optimal investment and consumption when allowing terminal debt
- An expansion in the model space in the context of utility maximization
- Finite-horizon optimal consumption and investment problem with a preference change
- Consumption-portfolio choice with preferences for cash
- Macroeconomic environment, money demand and portfolio choice
- Conditioned stochastic differential equations: theory, examples and application to finance.
- Utility maximization with a stochastic clock and an unbounded random endowment
- Recursive utility maximization for terminal wealth under partial information
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Optimal trading strategy for an investor: the case of partial information
- Pricing and hedging of american contingent claims in incomplete markets
- Optimal investment and consumption models with non-linear stock dynamics
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Dual formulation of the utility maximization problem under transaction costs
- Optimal consumption choice with intertemporal substitution
- Optimal portfolio in partially observed stochastic volatility models.
- On trees and logs
- Optimal portfolios for logarithmic utility.
- Martingale representation theorems for initially enlarged filtrations.
- Optimal investment with random endowments in incomplete markets.
- Utility maximization with partial information
- Portfolio selection of a closed-end mutual fund
- Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization
- The dual optimizer for the growth-optimal portfolio under transaction costs
- On utility maximization under convex portfolio constraints
- Optimal consumption and portfolio selection with stochastic differential utility
- American options with stochastic dividends and volatility: a nonparametric investigation
- On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
- Utility maximization with habit formation of interaction
- A class of optimal portfolio liquidation problems with a linear decreasing impact
- Recursive utility optimization with concave coefficients
- Worst-case portfolio optimization in discrete time
- Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints
- Finite horizon portfolio selection problems with stochastic borrowing constraints
- Portfolio selection with drawdown constraint on consumption: a generalization model
- Optimal retirement in a general market environment
- Optimal consumption/investment and retirement with necessities and luxuries
- Duality for optimal consumption under no unbounded profit with bounded risk
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
- Intertemporal preference with loss aversion: consumption and risk-attitude
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- Ramsey rule with forward/backward utility for long-term yield curves modeling
- Annuity and insurance choice under habit formation
- A dynamic programming approach to path-dependent constrained portfolios
- Many-player games of optimal consumption and investment under relative performance criteria
- Characterization of fully coupled FBSDE in terms of portfolio optimization
- Optimal retirement and portfolio selection with consumption ratcheting
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