Stochastic intertemporal duality: an application to investment under uncertainty

DOI10.1016/J.JEDC.2005.05.013MaRDI QIDQ956562zbMATH OpenOpenAlexFDO

Authors Frank C. Krysiak

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.2005.05.013

zbMATH Keywords

uncertaintyinvestmentexpectationsintertemporal duality

Mathematics Subject Classification ID

Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3933857 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3562121 (Why is no real title available?)
• scientific article; zbMATH DE number 4118220 (Why is no real title available?)
• scientific article; zbMATH DE number 3347169 (Why is no real title available?)
• Atemporal, Temporal and Intertemporal Duality in Consumer Theory
• Comparative Dynamics via Envelope Methods in Variational Calculus
• Duality Theory and Functional Forms for Dynamic Factor Demands
• Fundamental symmetries and qualitative properties in the adjustment cost model of the firm
• How to do comparative dynamics on the back of an envelope in optimal control theory
• Intertemporal Duality: Application to the Theory of the Firm
• The Rational Multivariate Flexible Accelerator
• The comparative dynamics of closed-loop controls for discounted infinite horizon optimal control problems

Cited in

(4)

• Investment timing in presence of downside risk: a certainty equivalent characterization
• Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
• Duality and optimality conditions in stochastic optimization and mathematical finance
• Duality and liquidity constraints under uncertainty

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