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

DOI10.1111/J.1467-9965.1994.TB00047.XzbMATH Open0884.90052OpenAlexW1979745524MaRDI QIDQ4372020FDOQ4372020

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)

Recommendations

• Optimal consumption and arbitrage in incomplete, finite state security markets
• 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
• Consumption and investment under constraints

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)

• Optimal consumption and arbitrage in incomplete, finite state security markets
• Consumption-portfolio optimization with recursive utility in incomplete markets
• Optimal consumption and portfolio selection with lower and upper bounds on consumption
• OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
• Mean-variance portfolio selection under no-shorting rules: a BSDE approach
• Continuous-time mean-variance portfolio selection with value-at-risk and no-shorting constraints
• Title not available (Why is no real title available?)
• Synthetic replication of American contingent claims when portfolios are constrained
• Consumption and investment under constraints
• Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case¹
• Title not available (Why is no real title available?)
• Optimal investment-consumption problem with constraint

This page was built for publication: OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4372020)