Pages that link to "Item:Q140187"
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The following pages link to Optimum consumption and portfolio rules in a continuous-time model (Q140187):
Displaying 50 items.
- Mutual fund theorem for continuous time markets with random coefficients (Q2015032) (← links)
- An investment and consumption problem with CIR interest rate and stochastic volatility (Q2015242) (← links)
- Consumption, investment and life insurance strategies with heterogeneous discounting (Q2015474) (← links)
- Optimal dividends and ALM under unhedgeable risk (Q2015618) (← links)
- Pension saving schemes with return smoothing mechanism (Q2015634) (← links)
- Markov decision processes with quasi-hyperbolic discounting (Q2022761) (← links)
- Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility (Q2024120) (← links)
- Continuity of utility maximization under weak convergence (Q2024121) (← links)
- Household utility maximization with life insurance: a CES utility case (Q2024613) (← links)
- Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints (Q2024617) (← links)
- A model of investment under uncertainty with time to build, market incompleteness and risk aversion (Q2030369) (← links)
- Robust portfolio selection for individuals: minimizing the probability of lifetime ruin (Q2031384) (← links)
- Utility-indifference pricing of European options with proportional transaction costs (Q2033077) (← links)
- Dynamic portfolio allocation in goals-based wealth management (Q2033705) (← links)
- Optimal stopping time of a portfolio selection problem with multi-assets (Q2033993) (← links)
- Real options for an entrepreneur with preferences for liquidity (Q2036978) (← links)
- Stochastic dynamic utilities and intertemporal preferences (Q2037769) (← links)
- Insider information and its relation with the arbitrage condition and the utility maximization problem (Q2045757) (← links)
- Analysis of a class of dynamic programming models for multi-stage uncertain systems (Q2049773) (← links)
- Network simulation method for the evaluation of perturbed supply chains on a finite horizon (Q2051186) (← links)
- Optimal control for uncertain discrete-time singular systems under expected value criterion (Q2052935) (← links)
- Risk matters: breaking certainty equivalence in linear approximations (Q2054835) (← links)
- Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint (Q2059371) (← links)
- Model uncertainty on commodity portfolios, the role of convenience yield (Q2063057) (← links)
- Robust consumption portfolio optimization with stochastic differential utility (Q2065170) (← links)
- Ignorance, pervasive uncertainty, and household finance (Q2067398) (← links)
- Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs (Q2076360) (← links)
- Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition (Q2076416) (← links)
- An inter-temporal CAPM based on first order stochastic dominance (Q2076851) (← links)
- Novel utility-based life cycle models to optimise income in retirement (Q2078002) (← links)
- Pandemic portfolio choice (Q2083972) (← links)
- High dimensional Markovian trading of a single stock (Q2085831) (← links)
- Asset pricing under smooth ambiguity in continuous time (Q2088605) (← links)
- Do time preferences matter in intertemporal consumption and portfolio decisions? (Q2099002) (← links)
- Parameter identification for portfolio optimization with a slow stochastic factor (Q2101109) (← links)
- Speculative trading, prospect theory and transaction costs (Q2111243) (← links)
- A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility (Q2112716) (← links)
- Semi-implicit FEM for the valuation of American options under the Heston model (Q2115059) (← links)
- Optimal consumption and portfolio selection with lower and upper bounds on consumption (Q2116155) (← links)
- Optimal consumption with reference to past spending maximum (Q2120541) (← links)
- Agent's optimal compensation under inflation risk by using dynamic contract model (Q2121174) (← links)
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (Q2123124) (← links)
- Optimal investments for the standard maximization problem with non-concave utility function in complete market model (Q2123128) (← links)
- Intertemporal preference with loss aversion: consumption and risk-attitude (Q2123162) (← links)
- On Hermite-Hadamard type inequalities for \(n \)-polynomial convex stochastic processes (Q2133355) (← links)
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility (Q2140305) (← links)
- Extensions of the deep Galerkin method (Q2148058) (← links)
- Signal-to-noise matrix and model reduction in continuous-time hidden Markov models (Q2148921) (← links)
- Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment (Q2152234) (← links)
- Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees (Q2152251) (← links)
