The tradeoff between consumption and investment in incomplete financial markets

DOI10.1007/s00245-005-0826-1zbMath1128.91024OpenAlexW1976860959MaRDI QIDQ2493286

Wendell H. Fleming, Daniel Hernández-Hernández

Publication date: 12 June 2006

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

Full work available at URL: https://doi.org/10.1007/s00245-005-0826-1

zbMATH Keywords

large deviationsrisk-sensitive controlMerton modelzero growth rate

Mathematics Subject Classification ID

Related Items (11)

Solution of the HJB Equations Involved in Utility-Based Pricing ⋮ A control approach to robust utility maximization with logarithmic utility and time-consistent penalties ⋮ Optimal investment and reinsurance for an insurer under Markov-modulated financial market ⋮ An Optimal Consumption Problem for General Factor Models ⋮ Optimal consumption-investment under partial information in conditionally log-Gaussian models ⋮ Variance-optimal martingale measures for diffusion processes with stochastic coefficients ⋮ An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments ⋮ An optimal consumption and investment problem with partial information ⋮ Portfolio optimization for assets with stochastic yields and stochastic volatility ⋮ On the parabolic equation for portfolio problems ⋮ H-J-B equations of optimal consumption-investment and verification theorems

This page was built for publication: The tradeoff between consumption and investment in incomplete financial markets