Theory of dynamic portfolio for survival under uncertainty

DOI10.1016/0165-4896(95)00783-IzbMath0886.90038OpenAlexW2168637587MaRDI QIDQ1377484

Santanu Roy

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

zbMATH Keywords

dynamic optimizationdiscrete timeprobability of survivalstationary optimal policiesrisk portfolio choicevariable risk preference

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (1)

Proportional reinsurance and investment in multiple risky assets under borrowing constraint

Cites Work

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