Explicit solutions to an optimal portfolio choice problem with stochastic income
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Publication:956429
DOI10.1016/J.JEDC.2004.07.004zbMATH Open1198.91188OpenAlexW2052313741MaRDI QIDQ956429FDOQ956429
Authors: Vicky Henderson 
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2004.07.004
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asset allocationincomplete marketsstochastic incomelabor incomemean-reversionoptimal portfolio choicewage income
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- Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
- Optimal investment, stochastic labor income and retirement
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- A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment
- Valuation of mortgage interest deductibility under uncertainty: an option pricing approach
- Exact solutions and approximations for optimal investment strategies and indifference prices
- Optimal risk taking with flexible income
- The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility
- Pricing and hedging in incomplete markets with model uncertainty
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- Unemployment risks and optimal retirement in an incomplete market
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- Indifference pricing for CRRA utilities
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales
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- Robust portfolio choice with sticky wages
- Computational methods for incentive option valuation
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- Relative hedging of systematic mortality risk
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