Optimal Investment With Undiversifiable Income Risk

DOI10.1111/J.1467-9965.1993.TB00083.XzbMATH Open0884.90062OpenAlexW2076206540MaRDI QIDQ4372005FDOQ4372005

Thaleia Zariphopoulou, 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

Recommendations

• Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
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• Inconsistent investment and consumption problems

zbMATH Keywords

Hamilton-Jacobi-Bellman equationportfolio choiceconsumption

Mathematics Subject Classification ID

Portfolio theory (91G10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Application models in control theory (93C95)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
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• Optimal Control with State-Space Constraint I
• Viscosity Solutions of Hamilton-Jacobi Equations
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• Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
• Title not available (Why is that?)
• A Uniqueness Result for Viscosity Solutions of Second Order Fully Nonlinear Partial Differential Equations
• Hedging in incomplete markets with HARA utility
• Title not available (Why is that?)

Cited In (29)

• 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
• CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING
• Lie Group Analysis of Nonlinear Black-Scholes Models
• OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT
• 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
• Optimal selection portfolio problem: a semi-linear PDE approach
• Annuitization and asset allocation
• A dynamic maximum principle for the optimization of recursive utilities under constraints.
• Duality for optimal consumption with randomly terminating income
• A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities
• A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market
• 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
• Relative Hedging of Systematic Mortality Risk
• Explicit solutions to an optimal portfolio choice problem with stochastic income
• Title not available (Why is that?)
• Benefits of fluctuating exchange rates on the investor's wealth
• Proving regularity of the minimal probability of ruin via a game of stopping and control
• Optimal allocation–consumption problem for a portfolio with an illiquid asset
• Minimizing the probability of lifetime ruin under borrowing constraints
• Optimal Investment Strategy for Risky Assets
• Optimal investment and consumption with labor income in incomplete markets
• Valuation of contingent-claims characterising particular pension schemes
• Consumption and investment with interest rate risk

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