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Black's Inverse Investment Problem and Forward Criteria with Consumption - MaRDI portal

Black's Inverse Investment Problem and Forward Criteria with Consumption (Q5112733)

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scientific article; zbMATH DE number 7209463
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English
Black's Inverse Investment Problem and Forward Criteria with Consumption
scientific article; zbMATH DE number 7209463

    Statements

    title
    Black's Inverse Investment Problem and Forward Criteria with Consumption (English)
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    DOI
    10.1137/17M1143812
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    author
    Sigrid Källblad
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    publication date
    8 June 2020
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    Mathematics Subject Classification ID
    91G10
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    91B16
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    91G80
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    35Q93
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    35C15
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    49N15
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    49N45
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    60G60
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    zbMATH DE Number
    7209463
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    zbMATH Keywords
    optimal investment and consumption
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    forward criteria
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    Black's investment problem
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    inverse investment problems
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    dynamic consistency
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    stochastic utility functions
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    progressive utilities
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    infinite horizon Merton criteria
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    cites work
    Q5833361
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    Q3925594
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    Q4084640
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    OpenAlex ID
    W3022718368
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