Optimal Multiperiod Investment-Consumption Policies

DOI10.2307/1911100MaRDI QIDQ3877352zbMATH OpenOpenAlexFDO

Authors Uday S. Karmarkar, R. A. Abrams

Publication date 1980

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1911100

zbMATH Keywords

stochastic dynamic programconvex duality theoryoptimal decision policyoptimal multiperiod investment-consumption policiespositively homogeneous utility functionspresence of transfer costs

Mathematics Subject Classification ID

Economic growth models (91B62)

Cited in

(3)

• A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
• Multi-factor dynamic investment under uncertainty
• An incremental-hybrid-Yager's entropy model for dynamic portfolio selection with fuzzy variable

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