Optimal investment decisions when time-horizon is uncertain
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Cited in
(71)- Optimal investment with counterparty risk: a default-density model approach
- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
- Buy-and-hold mean-variance portfolios with a random exit strategy
- Investment horizon and composition of optimal portfolio: International evidence
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- Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
- Optimal consumption problems in discontinuous markets
- On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
- Mean-variance portfolio selection with random investment horizon
- PORTFOLIO CHOICE WITH TIME HORIZON RISK
- Non-concave expected utility optimization with uncertain time horizon
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