Optimal portfolio and consumption decisions in a stochastic environment with precommitment

DOI10.1016/0165-1889(94)00790-OMaRDI QIDQ673797zbMATH OpenOpenAlexFDO

Authors Isaac Ehrlich, William A. jun. Hamlen

Publication date 28 February 1997

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(94)00790-o

zbMATH Keywords

RiskConsumptionPortfolioStochastic

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3651447 (Why is no real title available?)
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• scientific article; zbMATH DE number 3616126 (Why is no real title available?)
• scientific article; zbMATH DE number 3368586 (Why is no real title available?)
• scientific article; zbMATH DE number 3094609 (Why is no real title available?)
• An Intertemporal Capital Asset Pricing Model
• Growth and optimal intertemporal allocation of risks
• Optimal Control Systems with Stochastic Boundary Conditions and State Equations
• Optimal portfolio and consumption decisions in a stochastic environment with precommitment
• Optimum consumption and portfolio rules in a continuous-time model
• Risk Aversion in the Small and in the Large

Cited in

(5)

• Optimal portfolio and consumption decisions in a stochastic environment with precommitment
• Portfolio optimization in stochastic markets
• Portfolio selection in stochastic markets with exponential utility functions
• Optimal consumption and portfolio choice with ambiguity and anticipation
• Preface: Decision making and risk/return optimization in financial economics

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