Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments

DOI10.1080/17442509008833610zbMath0694.90038OpenAlexW1973007344MaRDI QIDQ3470222

Lucien Foldes

Publication date: 1990

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509008833610

zbMATH Keywords

infinite horizonstochastic calculuscalculus of variationssemimartingaleportfolio choicecontinuous timecontinuous-timeoptimal capital accumulationdiscounted relative risk aversion

Mathematics Subject Classification ID

Economic growth models (91B62) Optimal stochastic control (93E20)

Related Items (15)

Optimal investment in incomplete markets when wealth may become negative. ⋮ Utility maximization in models with conditionally independent increments ⋮ A complete explicit solution to the log-optimal portfolio problem. ⋮ Optimal Sure Portfolio Plans ⋮ Optimal consumption and portfolio selection with stochastic differential utility ⋮ Efficiency in economic growth models under uncertainty ⋮ Martingale densities for general asset prices ⋮ POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS ⋮ Variance-optimal hedging for processes with stationary independent increments ⋮ On the pricing of contingent claims under constraints ⋮ Consumption-investment problem with pathwise ambiguity under logarithmic utility ⋮ The asymptotic elasticity of utility functions and optimal investment in incomplete markets ⋮ LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS ⋮ Valuation and martingale properties of shadow prices: an exposition ⋮ Continuous-time security pricing. A utility gradient approach

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