OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS

DOI10.1111/J.1467-9965.1994.TB00047.XMaRDI QIDQ4372020zbMATHOpenAlexFDO

Authors Hiroshi Shirakawa

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.1467-9965.1994.tb00047.x

zbMATH Keywords

dualityoptimal portfolioupper and lower boundsmartingale approachexistence of dual optimal solutionstime-additive utility function

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 193411 (Why is no real title available?)
• scientific article; zbMATH DE number 3466802 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• A stochastic calculus model of continuous trading: Complete markets
• Convex Analysis
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process

Cited in

(12)

• Consumption-portfolio optimization with recursive utility in incomplete markets
• OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
• Optimal consumption and portfolio selection with lower and upper bounds on consumption
• Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case¹
• Optimal investment-consumption problem with constraint
• scientific article; zbMATH DE number 1552542 (Why is no real title available?)
• Continuous-time mean-variance portfolio selection with value-at-risk and no-shorting constraints
• scientific article; zbMATH DE number 2165725 (Why is no real title available?)
• Consumption and investment under constraints
• Optimal consumption and arbitrage in incomplete, finite state security markets
• Mean-variance portfolio selection under no-shorting rules: a BSDE approach
• Synthetic replication of American contingent claims when portfolios are constrained

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