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)- Bayesian learning for the Markowitz portfolio selection problem
- Consistent utility of investment and consumption: a forward/backward SPDE viewpoint
- Finite horizon portfolio selection with a negative wealth constraint
- Dynamic asset allocation with uncertain jump risks: a pathwise optimization approach
- Optimal investment and life insurance strategies under minimum and maximum constraints
- The investor problem based on the HJM model
- Optimal consumption and arbitrage in incomplete, finite state security markets
- Performance enhancement through portfolio optimization of delayed insider information: an analysis and implementation study
- Portfolio selection of a closed-end mutual fund
- Optimal consumption and investment with welfare constraints
- Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
- Utility-deviation-risk portfolio selection
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
- 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
- Macroeconomic environment, money demand and portfolio choice
- Optimal spreading when spreading is optimal
- Optimal investment strategies with a reallocation constraint
- Efficient frontier of utility and CVaR
- Optimal consumption, investment, and life insurance purchase: a state-dependent utilities approach
- CPDO with finite termination: maximal return under cash-in and cash-out conditions
- Labor supply flexibility and portfolio selection with early retirement option
- An optimal consumption and investment problem with CES utility and negative wealth constraints
- Optimal management of DB pension fund under both underfunded and overfunded cases
- A long-term optimal consumption and investment problem with partial information
- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
- A model of retirement and consumption-portfolio choice
- Consumption processes and positively homogeneous projection properties
- Many-player games of optimal consumption and investment under relative performance criteria
- 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
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
- Portfolio management under drawdown constraint in discrete-time financial markets
- Utility maximization via decoupling fields
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- An expansion in the model space in the context of utility maximization
- OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS
- Consumption-portfolio choice with preferences for cash
- Health insurance, portfolio choice, and retirement incentives
- Futures market equilibrium with heterogeneity and a spot market at harvest
- Optimal investment consumption model with a higher interest rate for borrowing
- Portfolio selection with drawdown constraint on consumption: a generalization model
- 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
- Non-transferable non-hedgeable executive stock option pricing
- Portfolio selection with consumption ratcheting
- Near-optimal asset allocation in financial markets with trading constraints
- Optimal sharing rule for a household with a portfolio management problem
- Asymptotic optimal strategy for portfolio optimization in a slowly varying stochastic environment
- Optimal consumption, investment and life insurance with surrender option guarantee
- Optimal consumption-investment with constraints in a regime switching market with random coefficients
- Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
- Log-optimal portfolio without NFLVR: existence, complete characterization, and duality
- MONOTONICITY PROPERTIES OF OPTIMAL INVESTMENT STRATEGIES FOR LOG-BROWNIAN ASSET PRICES
- Entrepreneurial decisions on effort and project with a nonconcave objective function
- Horizon effect on optimal retirement decision
- Merton portfolio problem with one indivisible asset
- Optimal retirement time under habit persistence: what makes individuals retire early?
- Monte Carlo computation of optimal portfolios in complete markets
- Robust utility maximization with nonlinear continuous semimartingales
- Recursive utility maximization for terminal wealth under partial information
- \(G\)-forward performance process and representation of homothetic case via ergodic quadratic \(G\)-BSDE
- A dynamic programming approach to path-dependent constrained portfolios
- The effects of pre-/post-retirement borrowing constraints on optimal consumption, investment, and retirement
- A consumption-investment problem modelled as a discounted Markov decision process
- Optimal retirement planning under partial information
- scientific article; zbMATH DE number 1839856 (Why is no real title available?)
- The importance of dynamic risk constraints for limited liability operators
- Optimal investment in the development of oil and gas field
- Remarks on optimal strategies to utility maximizations in continuous time incomplete markets
- A greedy algorithm for habit formation under multiplicative utility
- Financial finance
- scientific article; zbMATH DE number 3943498 (Why is no real title available?)
- PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING
- Intertemporal preference with loss aversion: consumption and risk-attitude
- Finite horizon portfolio selection problems with stochastic borrowing constraints
- FBSDE approach to utility portfolio selection in a market with random parameters
- Optimal Consumption‐Portfolio Policies With Habit Formation1
- Finite-horizon optimal consumption and investment problem with a preference change
- Utility maximization with habit formation of interaction
- Optimal consumption and portfolio selection with early retirement option
- Finite horizon portfolio selection with durable goods
- 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
- Cross-sectional asset pricing with heterogeneous preferences and beliefs
- Optimal investment strategies with bounded risks, general utilities, and goal achieving
- A martingale approach for asset allocation with derivative security and hidden economic risk
- Portfolio optimization under Solvency II
- Utility maximization under \(g^\ast\)-expectation
- Arbitrage and control problems in finance. A presentation
- Optimal dynamic momentum strategies
- General equilibrium pricing with multiple dividend streams and regime switching
- Optimal investment strategies for general utilities under dynamic elasticity of variance models
- On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model
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)
