On the reservation wage under CARA and limited borrowing

DOI10.1016/j.mathsocsci.2010.10.005zbMath1231.91281OpenAlexW1990872196MaRDI QIDQ656792

Christian W. Bauer

Publication date: 13 January 2012

Published in: Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mathsocsci.2010.10.005

Mathematics Subject Classification ID

Utility theory (91B16)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• ``Itō's lemma and the Bellman equation for Poisson processes: An applied view
• Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
• Stochastic differential equations. An introduction with applications.