Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1

DOI10.1111/j.1467-9965.1991.tb00012.xzbMath0900.90142OpenAlexW3122045776MaRDI QIDQ4345911

Hua He, Neil D. Pearson

Publication date: 31 August 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00012.x

zbMATH Keywords

martingaleincomplete marketsconsumptionportfolio policiesshort-sale

Mathematics Subject Classification ID

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Cites Work

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• Stochastic equilibria with incomplete financial markets
• Equilibrium in incomplete markets. II: Generic existence in stochastic economies
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Martingales and arbitrage in multiperiod securities markets
• Linear Inequalities and Related Systems. (AM-38)
• The Structure of Intertemporal Preferences under Uncertainty and Time Consistent Plans
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

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