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

DOI10.1016/J.AMC.2011.12.065zbMATH Open1241.91128OpenAlexW2005117496MaRDI QIDQ428104FDOQ428104

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

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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)

Cites Work

• Processes of normal inverse Gaussian type
• Optimum consumption and portfolio rules in a continuous-time model
• Hyperbolic distributions in finance
• Applied stochastic control of jump diffusions
• Title not available (Why is that?)
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
• The relaxed investor and parameter uncertainty
• Optimal consumption and portfolio selection problem with downside consumption constraints
• Optimal portfolio of low liquid assets with a log-utility function
• A model of optimal consumption under liquidity risk with random trading times
• Title not available (Why is that?)
• Optimal consumption policies in illiquid markets
• Optimum portfolio diversification in a general continuous-time model

Cited In (4)

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

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