Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments

DOI10.1080/17442509208833805MaRDI QIDQ4034503zbMATH OpenOpenAlexFDO

Authors Lucien Foldes

Publication date 16 May 1993

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509208833805

zbMATH Keywords

semimartingaleweak precompactnessportfolio-cum-saving

Mathematics Subject Classification ID

Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55) Economic growth models (91B62) Optimal stochastic control (93E20)

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(5)

• Variance-optimal hedging for processes with stationary independent increments
• The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
• Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
• Optimal Sure Portfolio Plans
• Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments

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