Legendre transform-dual solution for a class of investment and consumption problems with HARA utility

DOI10.1155/2014/656438zbMath1407.91216OpenAlexW2074319162WikidataQ59068701 ScholiaQ59068701MaRDI QIDQ1718893

Hao Chang, Xi-Min Rong

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/656438

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences ⋮ Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model ⋮ Inter‐temporal mutual‐fund management ⋮ A solvable time-inconsistent principal-agent problem ⋮ Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform

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