OPTIMAL INVESTMENT AND CONSUMPTION WITH STOCHASTIC FACTOR AND DELAY
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Publication:3122036
DOI10.1017/S1446181119000014zbMath1409.91289OpenAlexW4243114723MaRDI QIDQ3122036
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Publication date: 20 March 2019
Published in: The ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s1446181119000014
Cox-Ingersoll-Ross modelstochastic differential delay equationstochastic factorpower utility function
Related Items (3)
Robust optimal investment problem with delay under Heston's model ⋮ Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market ⋮ An optimal portfolio problem of DC pension with input-delay and jump-diffusion process
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