Optimal consumption and investment for markets with random coefficients (Q1945049)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal consumption and investment for markets with random coefficients |
scientific article |
Statements
Optimal consumption and investment for markets with random coefficients (English)
0 references
2 April 2013
0 references
Black-Scholes market
0 references
optimal consumption and investment
0 references
Hamilton-Jacobi-Bellman PDE
0 references
Feynman-Kac representation
0 references
random coefficients
0 references
fixed-point solution
0 references
CRRA utility functions
0 references
0 references
0 references
0 references
0 references
