Optimal investment and consumption decisions under the constant elasticity of variance model

zbMath1299.91115MaRDI QIDQ474344

Chu-bing Zhang, Hao Chang, Hui Zhao, Xi-Min Rong

Publication date: 24 November 2014

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10) PDEs in connection with control and optimization (35Q93) General considerations in statistical decision theory (62C05)

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