A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
From MaRDI portal
Publication:5080645
DOI10.1287/OPRE.2021.2197zbMATH Open1493.91110OpenAlexW4210823517MaRDI QIDQ5080645FDOQ5080645
Alain Bensoussan, Joohyun Kim, SingRu (Celine) Hoe, Zhongfeng Yan
Publication date: 31 May 2022
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2021.2197
Recommendations
- Optimal portfolio and consumption selection with default risk
- A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model
- Optimal consumption and portfolio selection with stochastic differential utility
- Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint
- Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model
- Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints
- Optimal consumption and portfolio selection with lower and upper bounds on consumption
- Optimal consumption and portfolio selection with portfolio constraints
- Optimal consumption and investment under time-varying relative risk aversion
- Optimal trade-off portfolio selection between total risk and maximum relative marginal risk†
risk managementfixed point problemtime inconsistencyfinancial engineeringmean field-type controlconsumption and portfolio choice
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Mean Field Games and Mean Field Type Control Theory
- Optimal investment and consumption with transaction costs
- Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy
- 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
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- A new method for mean-variance portfolio optimization with cardinality constraints
- 60 years of portfolio optimization: practical challenges and current trends
- Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- On time-inconsistent stochastic control in continuous time
- Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
- Dynamic programming for mean-field type control
- Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time
- Entropic value-at-risk: a new coherent risk measure
- A Mean-Variance Approach to Capital Investment Optimization
- Utility-Deviation-Risk Portfolio Selection
- Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR
- Mean field verification theorem
Cited In (2)
This page was built for publication: A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5080645)
