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

DOI10.1111/j.1467-9965.1994.tb00047.xzbMath0884.90052MaRDI QIDQ4372020

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

duality; upper and lower bounds; optimal portfolio; martingale approach; existence of dual optimal solutions; time-additive utility function

Mathematics Subject Classification ID

60G35: Signal detection and filtering (aspects of stochastic processes)

91G10: Portfolio theory

Related Items

Optimal consumption and arbitrage in incomplete, finite state security markets, Synthetic replication of American contingent claims when portfolios are constrained

Cites Work

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