A direct method in optimal portfolio and consumption choice

DOI10.1007/BF02664802zbMath0858.90013MaRDI QIDQ1815743

Zhen Wu, Wensheng Xu

Publication date: 18 November 1996

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

zbMATH Keywords

direct methodsecurity marketoptimal portfolio and consumption choice problem

Mathematics Subject Classification ID

Application models in control theory (93C95) Optimal stochastic control (93E20) Optimality conditions for free problems in one independent variable (49K05)

Related Items (5)

General equilibrium with heterogeneous participants and continuous consumption with information costs and short selling constraints ⋮ An optimal investment/consumption problem with higher borrowing rate ⋮ A MODEL FOR MARKET CLOSURE AND INTERNATIONAL PORTFOLIO MANAGEMENT WITHIN INCOMPLETE INFORMATION ⋮ An intertemporal capital asset pricing model under incomplete information and short sales ⋮ A simple model of corporate international investment under incomplete information and taxes

Cites Work

• Optimization Problems in the Theory of Continuous Trading
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