Optimal Investment with Time-Varying Stochastic Endowments

DOI10.1137/21M1453402zbMath1498.91376arXiv1406.6245OpenAlexW3125828738MaRDI QIDQ5097224

Robert Stelzer, Christoph Belak, An Chen, Carla Mereu

Publication date: 22 August 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.6245

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionutility maximizationstochastic endowment

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Utility maximization in an illiquid market in continuous time
• Forward-backward systems for expected utility maximization
• Lifetime consumption and investment: retirement and constrained borrowing
• Continuous-time stochastic control and optimization with financial applications
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Optimization of consumption with labor income
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• Hedging in incomplete markets with HARA utility
• Optimal investment with random endowments in incomplete markets.
• Optimal investment and consumption with labor income in incomplete markets
• Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
• Stochastic differential equations, backward SDEs, partial differential equations
• Controlled Markov processes and viscosity solutions
• The mathematics of arbitrage
• Utility maximization in incomplete markets
• Turnpike properties in the calculus of variations and optimal control
• On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs
• OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT
• STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
• Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
• User’s guide to viscosity solutions of second order partial differential equations
• Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
• Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case¹
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• On the investment strategies in occupational pension plans
• Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations
• Utility maximization in incomplete markets with random endowment
• A solution approach to valuation with unhedgeable risks

This page was built for publication: Optimal Investment with Time-Varying Stochastic Endowments