Optimal portfolio and consumption decisions in a stochastic environment with precommitment

DOI10.1016/0165-1889(94)00790-OzbMath0900.90034OpenAlexW3121422545MaRDI QIDQ673797

Isaac Ehrlich, William A. jun. Hamlen

Publication date: 28 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(94)00790-o

zbMATH Keywords

RiskPortfolioStochasticConsumption

Mathematics Subject Classification ID

Related Items (3)

Optimal portfolio and consumption decisions in a stochastic environment with precommitment ⋮ Portfolio optimization in stochastic markets ⋮ Portfolio selection in stochastic markets with exponential utility functions

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal portfolio and consumption decisions in a stochastic environment with precommitment
• Growth and optimal intertemporal allocation of risks
• An Intertemporal Capital Asset Pricing Model
• Risk Aversion in the Small and in the Large
• Optimal Control Systems with Stochastic Boundary Conditions and State Equations
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