Pages that link to "Item:Q1961363"

The following pages link to Optimal consumption and portfolio selection with stochastic differential utility (Q1961363):

Displaying 50 items.

• Stochastic recursive optimal control problem with time delay and applications (Q256324) (← links)
• Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty (Q367371) (← links)
• Stochastic differential utility as the continuous-time limit of recursive utility (Q402100) (← links)
• Necessary conditions for optimal control of forward-backward stochastic systems with random jumps (Q413924) (← links)
• Shock elasticities and impulse responses (Q475311) (← links)
• Optimal consumption and investment with Epstein-Zin recursive utility (Q503395) (← links)
• Consumption-investment optimization with Epstein-Zin utility in incomplete markets (Q503396) (← links)
• Consumption optimization for recursive utility in a jump-diffusion model (Q524899) (← links)
• Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities (Q538320) (← links)
• Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available (Q622236) (← links)
• Dynamic portfolio choice under ambiguity and regime switching mean returns (Q631261) (← links)
• 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 (Q660368) (← links)
• Robust consumption and portfolio choice for time varying investment opportunities (Q666461) (← links)
• The dynamics of risk-sensitive allocations (Q813942) (← links)
• Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS (Q836969) (← links)
• Term structure of interest rates under recursive preferences in continuous time (Q842835) (← links)
• Numerical approach to asset pricing models with stochastic differential utility (Q853855) (← links)
• Dynamic choice with constant source-dependent relative risk aversion (Q889253) (← links)
• Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming (Q898994) (← links)
• Well-posedness and regularity of backward stochastic Volterra integral equations (Q948934) (← links)
• The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility (Q956538) (← links)
• Affine processes and applications in finance (Q1425484) (← links)
• Efficient consumption set under recursive utility and unknown beliefs. (Q1428170) (← links)
• Efficient intertemporal allocations with recursive utility. (Q1587641) (← links)
• Pricing long-lived securities in dynamic endowment economies (Q1622391) (← links)
• Continuous-time smooth ambiguity preferences (Q1657303) (← links)
• Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks (Q1681187) (← links)
• Robust consumption and portfolio policies when asset prices can jump (Q1757535) (← links)
• Generalized stochastic differential utility and preference for information (Q1769427) (← links)
• A dynamic maximum principle for the optimization of recursive utilities under constraints. (Q1872429) (← links)
• Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents (Q1932535) (← links)
• Consumption-portfolio optimization with recursive utility in incomplete markets (Q1936832) (← links)
• Optimal consumption and portfolio selection with stochastic differential utility (Q1961363) (← links)
• Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information (Q2003808) (← links)
• Robust consumption portfolio optimization with stochastic differential utility (Q2065170) (← links)
• The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations (Q2111245) (← links)
• The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\) (Q2111246) (← links)
• Robust consumption and portfolio choice with derivatives trading (Q2171630) (← links)
• A generalized stochastic differential utility driven by \(G\)-Brownian motion (Q2190068) (← links)
• Nonrecursive separation of risk and time preferences (Q2201707) (← links)
• Numerical solutions to optimal portfolio selection and consumption strategies under stochastic volatility (Q2205342) (← links)
• Portfolio selection: a review (Q2247913) (← links)
• A stochastic programming approach for multi-period portfolio optimization (Q2271799) (← links)
• Robust utility maximization under convex portfolio constraints (Q2348619) (← links)
• Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income (Q2485813) (← links)
• Backward stochastic Volterra integral equations and some related problems (Q2495382) (← links)
• Robust control and model misspecification (Q2496228) (← links)
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium (Q2496230) (← links)
• Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. (Q2574608) (← links)
• Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences (Q2654415) (← links)