Optimal portfolio and consumption rule with a CIR model under HARA utility
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Publication:1655923
DOI10.1007/s40305-017-0189-8zbMath1413.91090OpenAlexW2782838887MaRDI QIDQ1655923
Hao Chang, Zhen-Ming Fang, Chun-Feng Wang
Publication date: 10 August 2018
Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40305-017-0189-8
stochastic optimal controlCIR modelHARA utilityeconomic implicationLegendre transform-dual theoryoptimal portfolios and consumption rules
Related Items (2)
On a parabolic partial differential equation and system modeling a production planning problem ⋮ Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
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