Legendre transform-dual solution for investment and consumption problem under the Vasicek model

DOI10.1007/S11424-014-1165-6MaRDI QIDQ890628zbMATH OpenOpenAlexFDO

Authors Hao Chang, Kai Chang

Publication date 10 November 2015

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-014-1165-6

zbMATH Keywords

dynamic programmingLegendre transforminvestment and consumptionthe closed-form solutionthe Vasicek model

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 5942854 (Why is no real title available?)
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• An equilibrium characterization of the term structure
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
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• Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal investment and consumption with transaction costs
• Optimal investment strategies in the presence of a minimum guarantee.
• Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
• Optimum consumption and portfolio rules in a continuous-time model
• STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
• Stochastic optimal control of DC pension funds
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts

Cited in

(3)

• Legendre transform-dual solution for a class of investment and consumption problems with HARA utility
• Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework
• Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform

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