Optimal Investment With Undiversifiable Income Risk
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Recommendations
- Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
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Cites work
- scientific article; zbMATH DE number 5604590 (Why is no real title available?)
- scientific article; zbMATH DE number 4004696 (Why is no real title available?)
- scientific article; zbMATH DE number 3720745 (Why is no real title available?)
- scientific article; zbMATH DE number 3778463 (Why is no real title available?)
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 4125214 (Why is no real title available?)
- A Uniqueness Result for Viscosity Solutions of Second Order Fully Nonlinear Partial Differential Equations
- Hedging in incomplete markets with HARA utility
- Optimal Control with State-Space Constraint I
- Optimum consumption and portfolio rules in a continuous-time model
- Viscosity Solutions of Hamilton-Jacobi Equations
- Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
Cited in
(35)- Relative hedging of systematic mortality risk
- Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
- Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
- Zero Investment in a High Yield Asset Can be Optimal
- Investment, consumption and hedging with lump-sum payoff in finite horizon under incomplete market
- Optimal investment with time-varying stochastic endowments
- Optimal risk taking with flexible income
- Optimization problem for a portfolio with an illiquid asset: Lie group analysis
- A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
- Robust optimization of consumption with random endowment
- Annuitization and asset allocation
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Optimal selection portfolio problem: a semi-linear PDE approach
- ``Itō's lemma and the Bellman equation for Poisson processes: An applied view
- A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities
- Duality for optimal consumption with randomly terminating income
- Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
- Optimal consumption and portfolio choice with borrowing constraints
- Hedging in incomplete markets with HARA utility
- A generalized Itō-Ventzell formula to derive forward utility models in a jump market
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- Explicit solutions to an optimal portfolio choice problem with stochastic income
- scientific article; zbMATH DE number 6402032 (Why is no real title available?)
- Lie group analysis of nonlinear Black-Scholes models
- Proving regularity of the minimal probability of ruin via a game of stopping and control
- Benefits of fluctuating exchange rates on the investor's wealth
- Optimal allocation–consumption problem for a portfolio with an illiquid asset
- Optimal portfolio choice with path dependent labor income: the infinite horizon case
- Minimizing the probability of lifetime ruin under borrowing constraints
- Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
- Optimal investment and consumption with labor income in incomplete markets
- Optimal Investment Strategy for Risky Assets
- Valuation of contingent-claims characterising particular pension schemes
- Optimal investment with intermediate consumption and random endowment
- Consumption and investment with interest rate risk
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