On investment consumption modeling with jump process extensions for productive sectors

DOI10.1007/s10957-013-0406-5zbMath1336.91064OpenAlexW2082141369MaRDI QIDQ262002

Tina Engler, Alfons Balmann

Publication date: 29 March 2016

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-013-0406-5

zbMATH Keywords

dynamic programmingstochastic optimal controlPoisson processHARA utilityinvestment consumption model

Mathematics Subject Classification ID

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

Related Items (1)

Optimal consumption and investment problem with random horizon in a BMAP model

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Optimal investment and consumption with transaction costs
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• Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
• Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy
• Portfolio Selection with Transaction Costs

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