Optimal portfolio and consumption subject to multidimensional economic factors

DOI10.1002/oca.974zbMath1258.93119OpenAlexW2059389686MaRDI QIDQ4908872

Siddhartha P. Chakrabarty, Zongwu Zhu

Publication date: 7 March 2013

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.974

zbMATH Keywords

portfoliooptimal controlbondstockGross domestic productconsumption subjecteconomic factorinstantaneous fraction of wealthmultidimensional economic factors

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
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• Risk-sensitive dynamic asset management
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• Optimal Portfolio and Consumption Policies Subject to Rishel's Important Jump Events Model: Computational Methods
• Risk-Sensitive ICAPM With Application to Fixed-Income Management
• Risk Aversion in the Small and in the Large
• Option pricing when underlying stock returns are discontinuous

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