Theory of dynamic portfolio for survival under uncertainty
From MaRDI portal
Publication:1377484
DOI10.1016/0165-4896(95)00783-IzbMath0886.90038OpenAlexW2168637587MaRDI QIDQ1377484
Publication date: 26 January 1998
Published in: Mathematical Social Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-4896(95)00783-i
dynamic optimizationdiscrete timeprobability of survivalstationary optimal policiesrisk portfolio choicevariable risk preference
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Intertemporal borrowing to sustain exogenous consumption standards under uncertainty
- Stochastic optimal control. The discrete time case
- Evolution, learning, and economic behavior
- Satisficing
- Linear models of economic survival under production uncertainty
- On some aspects of survival under production uncertainty
- Optimal principal agent contracts for a class of incentive schemes: A characterization and the rate of approach to efficiency
- Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy
- Observable Contracts: Strategic Delegation and Cooperation
- RISK‐AVERSION BEHAVIOR IN CONSUMPTION/INVESTMENT PROBLEMS1
- Minimizing or Maximizing the Expected Time to Reach Zero
- Discounted Dynamic Programming
- Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
- Safety First and the Holding of Assets
- Bankruptcy and expected utility maximization
This page was built for publication: Theory of dynamic portfolio for survival under uncertainty
