Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform (Q506093)
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scientific article; zbMATH DE number 6679047
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform |
scientific article; zbMATH DE number 6679047 |
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Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform (English)
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31 January 2017
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consumption-investment problem
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Vasicek model
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HARA utility
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dynamic programming principle
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Legendre transform
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closed-form solution
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