Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy

DOI10.1137/19M124681XzbMath1433.91152OpenAlexW2996290964WikidataQ126558596 ScholiaQ126558596MaRDI QIDQ5215987

Yong Hyun Shin, Kexin Chen, Mei Choi Chiu, Hoi Ying Wong

Publication date: 14 February 2020

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

Full work available at URL: https://epubs.siam.org/doi/pdf/10.1137/19M124681X

zbMATH Keywords

perturbationstochastic volatilityasymptotic optimalityoptimal investment and consumptionsubsistence consumption

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity ⋮ Portfolio selection with drawdown constraint on consumption: a generalization model ⋮ Optimal Retirement Under Partial Information

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