Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy
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Publication:3040870
DOI10.1287/moor.8.4.613zbMath0526.90009OpenAlexW2027051887MaRDI QIDQ3040870
John P. Lehoczky, Suresh P. Sethi, Steven E. Shreve
Publication date: 1983
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.8.4.613
infinite horizonfinancerisk seekingoptimal investment policyexistence and nonexistence of optimal policiesoptimal control of degenerate diffusionsstrictly concave utility function for consumption
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