STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
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Publication:5487829
DOI10.1142/S0219024906003858zbMath1138.91468OpenAlexW2022202267MaRDI QIDQ5487829
Publication date: 12 September 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024906003858
Related Items (18)
Optimal consumption problem in the Vasicek model ⋮ A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation ⋮ An infinite time horizon portfolio optimization model with delays ⋮ Optimal investment and consumption with default risk: HARA utility ⋮ Asymptotic Approximation of Optimal Portfolio for Small Time Horizons ⋮ An optimal portfolio model with stochastic volatility and stochastic interest rate ⋮ Legendre transform-dual solution for investment and consumption problem under the Vasicek model ⋮ Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market ⋮ Robust consumption-investment problem on infinite horizon ⋮ Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market ⋮ Optimal debt ratio and dividend strategies for an insurer under a regime-switching model ⋮ Optimal debt ratio and dividend payment strategies with reinsurance ⋮ Optimal debt ratio and consumption strategies in financial crisis ⋮ An optimal portfolio problem in a defaultable market ⋮ Portfolio rules with log consumption utility and Cox-Ingersoll-Ross interest rate ⋮ Portfolio optimization for assets with stochastic yields and stochastic volatility ⋮ The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility ⋮ Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model
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