Consumption processes and positively homogeneous projection properties

DOI10.1007/S00780-008-0064-XzbMath1164.91013arXiv0711.4225OpenAlexW2127102357MaRDI QIDQ1003347

Tom Fischer

Publication date: 28 February 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.4225

zbMATH Keywords

positive homogeneityConsumption strategiesincome drawdownlog-Lévy processesmartingale consumptionsmooth bonus

Mathematics Subject Classification ID

Stochastic systems and control (93E99)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

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