scientific article; zbMATH DE number 2015366

zbMATH Open1067.91041MaRDI QIDQ4438201FDOQ4438201

Authors: Wendell Fleming, Daniel Hernández-Hernández 

Publication date: 2002

Title of this publication is not available (Why is that?)

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zbMATH Keywords

portfolio optimizationstochastic volatilitymean revertingfactor modeling

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Functional limit theorems; invariance principles (60F17) Consumer behavior, demand theory (91B42) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

Cited In (14)

• Merton's financial multi-agent consumption
• Optimal investment and consumption with transaction costs
• An optimal consumption model with stochastic volatility
• OPTIMAL INVESTMENT AND CONSUMPTION WITH STOCHASTIC FACTOR AND DELAY
• The investor problem based on the HJM model
• The optimal wealth tracking problem with consumption
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• An optimal consumption problem for general factor models
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• A Goodwin-Type Model with a Piecewise Linear Investment Function
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• A Goodwin-Type Model with Cubic Investment Function
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