Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
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Publication:506093
DOI10.1016/j.insmatheco.2016.10.014zbMath1394.91329OpenAlexW2560695688MaRDI QIDQ506093
Publication date: 31 January 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.10.014
closed-form solutionLegendre transformVasicek modelHARA utilityconsumption-investment problemdynamic programming principle
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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