Optimal investment and consumption with unknown parameters

DOI10.1080/03610926.2015.1116573zbMath1369.91169OpenAlexW2472861427MaRDI QIDQ5349133

Po Yang, Weijia Zhang

Publication date: 23 August 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1116573

zbMATH Keywords

Bayesian methodconstant relative risk aversionportfolio theoryconstant absolute risk aversionhyperbolic absolute risk aversion

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

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