A stochastic control model of investment, production and consumption

DOI10.1090/S0033-569X-04-00941-1zbMath1080.91031MaRDI QIDQ5464387

Tao Pang, Wendell H. Fleming

Publication date: 17 August 2005

Published in: Quarterly of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.ams.org/distribution/qam/2005-63-01/S0033-569X-04-00941-1/home.html

zbMATH Keywords

stochastic controlinvestmentexpected utility optimization

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (8)

An infinite time horizon portfolio optimization model with delays ⋮ Optimal investment and reinsurance for an insurer under Markov-modulated financial market ⋮ Optimal investment problem with complete memory on an infinite time horizon ⋮ Optimal investment and consumption for an insurer with high-watermark performance fee ⋮ A stochastic control model of investment and consumption with applications to financial economics ⋮ Portfolio optimization for assets with stochastic yields and stochastic volatility ⋮ A stochastic control model of investment, production, and consumption on a finite horizon ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax

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• A solution approach to valuation with unhedgeable risks

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