Consumption/investment problem when the investment opportunity set can be enlarged by information gathering

DOI10.1016/J.ORL.2011.04.004zbMATH Open1242.91111OpenAlexW2027368396MaRDI QIDQ433131FDOQ433131

Authors Gyoocheol Shim 

Publication date 13 July 2012

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2011.04.004

zbMATH Keywords

utilityBrownian motioninvestmentconsumptioninformation gathering

Mathematics Subject Classification ID

Economics of information (91B44)

Recommendations

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• scientific article; zbMATH DE number 4010171
• Optimal consumption and investment strategies with partial and private information in a multi-asset setting
• Optimal consumption choices for a `large' investor

Cites Work

• scientific article; zbMATH DE number 4010171 (Why is no real title available?)
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION

Cited In (2)

• Investment in real assets and information acquisition: The OCE preferences case
• Investment in information acquisition

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