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)- 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
- Continuous-time portfolio optimization under terminal wealth constraints
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Optimal lifetime consumption and investment under a drawdown constraint
- On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance.
- American options with stochastic dividends and volatility: a nonparametric investigation
- Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control
- ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
- Optimal consumption under deterministic income
- Equilibrium Models With Singular Asset Prices
- Portfolios and risk premia for the long run
- Probabilistic aspects of finance
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- The dual optimizer for the growth-optimal portfolio under transaction costs
- A stability result for the HARA class with stochastic interest rates.
- A generalized clark representation formula, with application to optimal portfolios
- Portfolio optimization under convex incentive schemes
- Optimal proportional reinsurance policies for diffusion models
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- A variational problem arising in financial economics
- Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint
- Jump-diffusion international asset allocation
- Optimal investment decisions when time-horizon is uncertain
- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
- Utility maximization with partial information
- Dynamic asset allocation under VaR constraint with stochastic interest rates
- Investor heterogeneity, asset pricing and volatility dynamics
- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
- STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
- Conditioned stochastic differential equations: theory, examples and application to finance.
- PORTFOLIO MANAGEMENT WITH CONSTRAINTS
- Optimal portfolio in partially observed stochastic volatility models.
- OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
- On optimal portfolio choice under stochastic interest rates
- An optimal portfolio problem in a defaultable market
- On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
- Optimal consumption and portfolio selection problem with downside consumption constraints
- Malliavin method for optimal investment in financial markets with memory
- Martingale representation theorems for initially enlarged filtrations.
- Investment and consumption without commitment
- Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints
- Worst-case portfolio optimization in discrete time
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
- Optimal investment and consumption under partial information
- Optimal investment with random endowments in incomplete markets.
- Optimal portfolio policies with borrowing and shortsale constraints
- Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Portfolio optimization in a regime-switching market with derivatives
- Optimal portfolios: new variations of an old theme
- Optimal investment under relative performance concerns
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- Dual formulation of the utility maximization problem under transaction costs
- Optimal consumption choice with intertemporal substitution
- A comparative study of portfolio insurance.
- Long-term strategic asset allocation with inflation risk and regime switching
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- Portfolio choice under dynamic investment performance criteria
- Optimal portfolio, consumption and retirement decision under a preference change
- Annuity and insurance choice under habit formation
- Optimal consumption problems in discontinuous markets
- Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints
- Asset and commodity prices with multi-attribute durable goods
- Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization
- Optimal consumption-investment under partial information in conditionally log-Gaussian models
- Optimal job switching and retirement decision
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)