RISK‐AVERSION BEHAVIOR IN CONSUMPTION/INVESTMENT PROBLEMS1

DOI10.1111/j.1467-9965.1991.tb00005.xzbMath0900.90054OpenAlexW3122718742MaRDI QIDQ4345880

Ernst L. Presman, Suresh P. Sethi

Publication date: 31 August 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00005.x

zbMATH Keywords

utilityrisk-aversionoptimal consumptionoptimal investment

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items

Sequential $\delta$-Optimal Consumption and Investment for Stochastic Volatility Markets with Unknown Parameters, Distribution of bankruptcy time in a consumption/portfolio problem, Theory of dynamic portfolio for survival under uncertainty, Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy, Optimal proportional reinsurance policies for diffusion models with transaction costs, Optimal proportional reinsurance policies for diffusion models, Infinite-horizon investment consumption model with a nonterminal bankruptcy

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Decreasing absolute risk aversion and utility indices derived from cake- eating problems
• A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model
• Risk Aversion in the Small and in the Large