Family optimal investment strategy for a random household expenditure under the CEV model

DOI10.1016/j.cam.2019.01.001zbMath1410.91433OpenAlexW2910456719WikidataQ128563974 ScholiaQ128563974MaRDI QIDQ2423522

Weipeng Yuan, Shaoyong Lai

Publication date: 20 June 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.01.001

zbMATH Keywords

stochastic controlCEV modeldual theoryoptimal investment strategiesstochastic household expenditure

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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