Black's Inverse Investment Problem and Forward Criteria with Consumption
DOI10.1137/17M1143812zbMath1444.91199OpenAlexW3022718368MaRDI QIDQ5112733
Publication date: 8 June 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/17m1143812
optimal investment and consumptiondynamic consistencystochastic utility functionsBlack's investment problemforward criteriainfinite horizon Merton criteriainverse investment problemsprogressive utilities
Random fields (60G60) Utility theory (91B16) Integral representations of solutions to PDEs (35C15) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Inverse problems in optimal control (49N45) Portfolio theory (91G10) PDEs in connection with control and optimization (35Q93)
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