Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach

DOI10.1016/J.AMC.2011.12.065MaRDI QIDQ428104zbMATH OpenOpenAlexFDO

Authors Rosella Castellano, Roy Cerqueti

Publication date 19 June 2012

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11573/1364590

zbMATH Keywords

dynamic programmingutility maximizationMonte Carlo simulationsjump-diffusion dynamicsoptimal consumption/investment modelstochastic control theorythin stocks

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1639859 (Why is no real title available?)
• scientific article; zbMATH DE number 1795850 (Why is no real title available?)
• A model of optimal consumption under liquidity risk with random trading times
• Applied stochastic control of jump diffusions
• Hyperbolic distributions in finance
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
• Optimal consumption and portfolio selection problem with downside consumption constraints
• Optimal consumption policies in illiquid markets
• Optimal portfolio of low liquid assets with a log-utility function
• Optimum consumption and portfolio rules in a continuous-time model
• Optimum portfolio diversification in a general continuous-time model
• Processes of normal inverse Gaussian type
• The relaxed investor and parameter uncertainty

Cited in

(4)

• A network approach to risk theory and portfolio selection
• Sustainable management of fossil fuels: a dynamic stochastic optimization approach with jump-diffusion
• Mean-variance portfolio selection in presence of infrequently traded stocks
• Forecasting macroeconomic fundamentals in economic crises

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