Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
From MaRDI portal
Publication:2574608
DOI10.1016/j.spa.2003.09.001zbMath1075.91026OpenAlexW3124163886MaRDI QIDQ2574608
Publication date: 29 November 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2003.09.001
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)
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