Optimal investment and consumption with unknown parameters

DOI10.1080/03610926.2015.1116573MaRDI QIDQ5349133zbMATH OpenOpenAlexFDO

Authors Weijia Zhang, Po Yang

Publication date 23 August 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2015.1116573

zbMATH Keywords

Bayesian methodconstant absolute risk aversionconstant relative risk aversionhyperbolic absolute risk aversionportfolio theory

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Cited in

(8)

• Optimal investment and consumption with labor income in incomplete markets
• OPTIMAL INVESTMENT AND CONSUMPTION WITH STOCHASTIC FACTOR AND DELAY
• scientific article; zbMATH DE number 5952231 (Why is no real title available?)
• scientific article; zbMATH DE number 6533721 (Why is no real title available?)
• Optimal portfolio with nonparametric learning
• Optimal consumption and investment with liquid and illiquid assets
• Optimal consumption and investment under irrational beliefs
• Optimal consumption and investment under time-varying relative risk aversion

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