Optimal Investment With Undiversifiable Income Risk
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Publication:4372005
DOI10.1111/j.1467-9965.1993.tb00083.xzbMath0884.90062OpenAlexW2076206540MaRDI QIDQ4372005
Thaleia Zariphopoulou, J. Darrell Duffie
Publication date: 21 January 1998
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00083.x
Application models in control theory (93C95) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
Related Items (26)
A dynamic maximum principle for the optimization of recursive utilities under constraints. ⋮ Optimization problem for a portfolio with an illiquid asset: Lie group analysis ⋮ Consumption and investment with interest rate risk ⋮ Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings ⋮ Optimal consumption and portfolio choice with borrowing constraints ⋮ Hedging in incomplete markets with HARA utility ⋮ Benefits of fluctuating exchange rates on the investor's wealth ⋮ Duality for optimal consumption with randomly terminating income ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT ⋮ Lie Group Analysis of Nonlinear Black-Scholes Models ⋮ Robust optimization of consumption with random endowment ⋮ Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms ⋮ Proving regularity of the minimal probability of ruin via a game of stopping and control ⋮ Optimal selection portfolio problem: a semi-linear PDE approach ⋮ Explicit solutions to an optimal portfolio choice problem with stochastic income ⋮ Optimal allocation–consumption problem for a portfolio with an illiquid asset ⋮ Valuation of contingent-claims characterising particular pension schemes ⋮ Minimizing the probability of lifetime ruin under borrowing constraints ⋮ Annuitization and asset allocation ⋮ A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS ⋮ Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING ⋮ A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market ⋮ A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities ⋮ Relative Hedging of Systematic Mortality Risk
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
- Hedging in incomplete markets with HARA utility
- Optimal Control with State-Space Constraint I
- Viscosity Solutions of Hamilton-Jacobi Equations
- A Uniqueness Result for Viscosity Solutions of Second Order Fully Nonlinear Partial Differential Equations
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