Consumption-portfolio optimization with recursive utility in incomplete markets (Q1936832)
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scientific article; zbMATH DE number 6135145
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consumption-portfolio optimization with recursive utility in incomplete markets |
scientific article; zbMATH DE number 6135145 |
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Consumption-portfolio optimization with recursive utility in incomplete markets (English)
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7 February 2013
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consumption-portfolio optimization
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recursive utility
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stochastic control approach
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stochastic volatility
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unspanned state process
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Campbell-Shiller approximation
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0.93441725
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0.91443735
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0.9078071
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0.90664756
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0.9052359
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