A note on optimal consumption and investment in a geometric Ornstein–Uhlenbeck market

DOI10.1524/STRM.2012.1043zbMath1246.91146OpenAlexW257974659MaRDI QIDQ2909820

Christina Ziehaus

Publication date: 6 September 2012

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/strm.2012.1043

zbMATH Keywords

local linear estimatornonparametric regressionspatial datafunctional datasmall balls probability

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Utility maximization in models with conditionally independent increments
• Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
• Asymptotic arbitrage and large deviations
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• A Theory of the Term Structure of Interest Rates
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT‐SALE CONSTRAINTS IN THE FINITE‐DIMENSIONAL CASE: SOME REMARKS

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